Strong supermartingales and limits of nonnegative martingales (Q272945): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
(5 intermediate revisions by 4 users not shown)
Property / reviewed by
 
Property / reviewed by: Guy Jumaric / rank
Normal rank
 
Property / reviewed by
 
Property / reviewed by: Guy Jumaric / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1312.2024 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A super-replication theorem in Kabanov's model of transaction costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Left continuous moderate Markov processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Duality theory for portfolio optimisation under transaction costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general version of the fundamental theorem of asset pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4263612 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5658888 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3957682 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3957683 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optional decompositions under constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Calcul stochastique et problèmes de martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption from investment and random endowment in incomplete semimartingale markets. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A generalization of a problem of Steinhaus / rank
 
Normal rank
Property / cites work
 
Property / cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Th�orie des processus stochastiques g�n�raux applications aux surmartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Supermartingales as Radon-Nikodym densities and related measure extensions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4682148 / rank
 
Normal rank
Property / cites work
 
Property / cites work: New proofs of a theorem of Komlós / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex compactness and its applications / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 19:40, 11 July 2024

scientific article
Language Label Description Also known as
English
Strong supermartingales and limits of nonnegative martingales
scientific article

    Statements

    Strong supermartingales and limits of nonnegative martingales (English)
    0 references
    21 April 2016
    0 references
    Loosely speaking, Komlós' lemma says that given an infinite bounded sequence of random variables there exists a random variable and a subsequence such that the Cesáro means of any subsequence converge almost surely to this random variable. The lemma holds also if one refers to convex combinations of subsequences. In the present paper, the authors switch from random variables to martingales, and they consider different versions of Komlós' lemma for non-negative martingales, which hold only with convergence in probability.
    0 references
    Komlós' lemma
    0 references
    non-negative martingales
    0 references
    optional strong supermartingales
    0 references
    predictable strong supermartingales
    0 references
    Fatou limit
    0 references
    convergence in probability
    0 references
    finite stopping times
    0 references
    stochastic integrals
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references