Predictability and stopping on lattices of sets (Q1326258): Difference between revisions
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English | Predictability and stopping on lattices of sets |
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Predictability and stopping on lattices of sets (English)
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28 August 1994
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As a first step in the development of a general theory of set-indexed martingales, we define predictability on a general space with respect to a filtration indexed by a lattice of sets. We prove a characterization of the predictable \(\sigma\)-algebra in terms of adapted and ``left- continuous'' processes without any form of topology for the index set. We then define a stopping set and show that it is a natural generalization of the stopping time; in particular, the predictable \(\sigma\)-algebra can be characterized by various stochastic intervals generated by stopping sets.
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set-indexed martingales
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filtration indexed by a lattice of sets
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stopping time
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stochastic intervals
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