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This article is cited in 7 scientific papers (total in 7 papers)
Martingale selection problem in the case of finite disrete time
D. B. Rokhlin Rostov State University
Abstract:
We consider a multivalued stochastic process specified on a filtered probability space. Assuming that the values of the process are convex we establish a criterion for the existence of an adapted sequence of selectors that can be transformed into a martingale by an equivalent change of measure. The criterion has a geometric nature and is expressed in terms of the supports of the regular conditional upper distributions of the elements of the multivalued process.
Keywords:
martingale measures, multivalued mappings, measurable choice, supports of regular conditional distributions, Castaing's representation.
Received: 02.08.2004 Revised: 14.03.2005
Citation:
D. B. Rokhlin, “Martingale selection problem in the case of finite disrete time”, Teor. Veroyatnost. i Primenen., 50:3 (2005), 480–500; Theory Probab. Appl., 50:3 (2006), 420–435
Linking options:
https://www.mathnet.ru/eng/tvp90https://doi.org/10.4213/tvp90 https://www.mathnet.ru/eng/tvp/v50/i3/p480
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Abstract page: | 527 | Full-text PDF : | 177 | References: | 98 |
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