A Banach lattice approach to convergent integrably bounded set-valued martingales and their positive parts (Q2481889): Difference between revisions

Let \((\Omega, \Sigma, \mu)\) be a complete probability space, \(X\) be a separable Banach space and \(cf(X)\) be the set of nonempty convex closed subsets of \(X\). Denote by \(({\mathcal{L}}^1[\Sigma,cf(X)],\Delta)\) the complete metric space of integrably bounded \(cf(X)\)-valued functions. In this paper for any preassigned filtration \((\Sigma_i)\) the space of \(\Delta\)-convergent integrably bounded \(cf(X)\)-valued martingales in terms of \(\Delta\)-closure of \(\bigcup_{i=1}^\infty{\mathcal{L}}^1[\Sigma_i,cf(X)]\) in \({\mathcal{L}}^1[\Sigma,cf(X)]\) is described. In particular, a formula to calculate the join of two such martingales and the positive part of such a martingale is provided. The aim of the paper is achieved by considering the more general setting of a near vector lattice \((S,d)\), endowed with a Riesz metric \(d\). By means of Rådström's embedding theorem [see \textit{H. Radstrom}, Proc. Am. Math. Soc. 3, 165--169 (1952; Zbl 0046.33304), and \textit{C. C. A. Labuschagne, A. L. Pinchuck, C. J. van Alten}, Quaest. Math. 33, No. 3, 285--308 (2007; Zbl 1144.06009)] for such spaces, a link is established between the space of convergent martingales in \(S\) and the space of convergent martingales in the Rådström completion \(R(S)\) of \(S\). The obtained results are applied to the spaces of \(\Delta\)-convergent \(ck(X)\)-valued martingales, where \(ck(X)\) denotes the set of all nonempty convex compact subsets of \(X\).