Martingale selection theorem for a stochastic sequence with relatively open convex values
| dc.creator | Rokhlin, Dmitry B. | |
| dc.date | 2006-02-26 | |
| dc.date.accessioned | 2026-07-07T07:03:47Z | |
| dc.date.available | 2026-07-07T07:03:47Z | |
| dc.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. | |
| dc.description | 7 pages | |
| dc.identifier | https://arxiv.org/abs/math/0602587 | |
| dc.identifier | http://arxiv.org/abs/math/0602587 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/109112 | |
| dc.subject | Probability | |
| dc.subject | 60G42 | |
| dc.title | Martingale selection theorem for a stochastic sequence with relatively open convex values | |
| dc.type | text |