Martingale selection theorem for a stochastic sequence with relatively open convex values
Abstract
Description
For a set-valued stochastic sequence $(G_n)_{n=0}^N$ with relatively open convex values $G_n(ω)$ we give a criterion for the existence of an adapted sequence $(x_n)_{n=0}^N$ of selectors, admitting an equivalent martingale measure. Mentioned criterion is expressed in terms of supports of the regular conditional upper distributions of the elements $G_n$. This result is a refinement of the main result of author's previous paper (Teor. Veroyatnost. i Primen., 2005, 50:3, 480--500), where the sets $G_n(ω)$ were assumed to be open and where were asked if the openness condition can be relaxed.
7 pages
7 pages