Continuous stochastic processes in Riesz spaces: The Doob-Meyer decomposition

DOI10.1007/s11117-010-0088-2zbMath1216.46005MaRDI QIDQ618834

Jacobus J. Grobler

Publication date: 17 January 2011

Published in: Positivity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11117-010-0088-2

zbMATH Keywords

Doob-Meyer decomposition; vector lattice; submartingale; stochastic process with continuous parameter

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

60G07: General theory of stochastic processes

46A40: Ordered topological linear spaces, vector lattices

06F20: Ordered abelian groups, Riesz groups, ordered linear spaces

Related Items

On the distribution function with respect to conditional expectation on Riesz spaces, Bernoulli Processes in Riesz Spaces, Discrete stopping times in the lattice of continuous functions, The Itô integral and near-martingales in Riesz spaces, Doob's optional sampling theorem in Riesz spaces, The Itô integral for Brownian motion in vector lattices. I, The Itô integral for Brownian motion in vector lattices. II, The quadratic variation of continuous time stochastic processes in vector lattices, On the decompositions of \(T\)-quasi-martingales on Riesz spaces, Stopped processes and Doob's optional sampling theorem, Itô's rule and Lévy's theorem in vector lattices, Andô-Douglas type characterization of optional projections and predictable projections, Burkholder theorem in Riesz spaces, Maximal probability inequalities in vector lattices, Jensen's and martingale inequalities in Riesz spaces, The Kolmogorov-Čentsov theorem and Brownian motion in vector lattices, Quadratic variation of martingales in Riesz spaces, The Hájek-Rényi-Chow maximal inequality and a strong law of large numbers in Riesz spaces, Girsanov's theorem in vector lattices, Burkholder inequalities in Riesz spaces, The Itô integral for martingales in vector lattices

Cites Work

• An Andô-Douglas type theorem in Riesz spaces with a conditional expectation
• Martingales in Banach lattices
• Ergodic theory and the strong law of large numbers on Riesz spaces
• Banach lattices
• Conditional expectations on Riesz spaces
• Discrete-time stochastic processes on Riesz spaces.
• A decomposition theorem for supermartingales
• Convergence of Riesz space martingales
• A Martingale Convergence Theorem in Vector Lattices
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