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Teoriya Veroyatnostei i ee Primeneniya, 2005, Volume 50, Issue 3, Pages 480–500
DOI: https://doi.org/10.4213/tvp90 (Mi tvp90) 		 
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
Full-text PDF (1841 kB) Citations (7)
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DOI: https://doi.org/10.4213/tvp90
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
English version:
Theory of Probability and its Applications, 2006, Volume 50, Issue 3, Pages 420–435
DOI: https://doi.org/10.1137/S0040585X97981834
Bibliographic databases:
Language: Russian
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
Citation in format AMSBIB
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    • This publication is cited in the following 7 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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