Predictability and stopping on lattices of sets (Q1326258)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Predictability and stopping on lattices of sets |
scientific article |
Statements
Predictability and stopping on lattices of sets (English)
0 references
28 August 1994
0 references
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.
0 references
set-indexed martingales
0 references
filtration indexed by a lattice of sets
0 references
stopping time
0 references
stochastic intervals
0 references