Regularity and stopping theorem for fuzzy martingales with continuous parameters (Q1763933): Difference between revisions

The aim of this paper is to investigate fuzzy-valued stochastic processes, substantially extending the classical notions of fuzzy random variables and fuzzy (super, sub) martingales [M. L. Puri, D. A. Ralescu; 1986, 1991]. The author defines the notion of graph convergence on fuzzy-valued stochastic processes. The trajectory regularity of fuzzy (super) martingales with continuous parameters in the sense of graph Kuratowski-Mosco convergence is studied on the basis of notion of graph Kuratowski-Mosco right-continuity and weak (right) continuity for fuzzy-valued stochastic processes. Since Doob's stopping results for fuzzy martingales with discrete times are already known, this paper establishes Doob's stopping theorem for fuzzy (super, sub) martingales with continuous parameters whose cut sets may be unbounded. The present properties (and further research) on fuzzy stochastic processes have important applications in mathematical economics, stochastic optimization, and fuzzy stochastic processes in finance.