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This article is cited in 5 scientific papers (total in 5 papers)
Short Communications
Families of Consistent Probability Measures
A. S. Cherny M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
This paper deals with the following problem. Suppose that $(P_t)_{t\ge 0}$ is a family of consistent probability measures defined on a filtration $(\mathscr{F}_t)_{t\ge 0}$. Does there exist a measure $P$ on the $\sigma$-field $\vee_{t\geq 0}\mathscr{F}_t$ such that $P\,|\,\mathscr{F}_t=P_t$? The answer is positive for the spaces $C(\mathbf{R}_+,\mathbf{R}^d)$ and $D(\mathbf{R}_+,\mathbf{R}^d)$ endowed with the natural filtration. We prove this statement using a simple method based on the Prokhorov criterion of weak compactness.
Keywords:
consistent probability measures, extension of measures, Skorokhod space, Prokhorov criterion.
Received: 17.03.1999
Citation:
A. S. Cherny, “Families of Consistent Probability Measures”, Teor. Veroyatnost. i Primenen., 46:1 (2001), 160–163; Theory Probab. Appl., 46:1 (2002), 118–121
Linking options:
https://www.mathnet.ru/eng/tvp4021https://doi.org/10.4213/tvp4021 https://www.mathnet.ru/eng/tvp/v46/i1/p160
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