Fuzzy random variables, expectation, and martingales (Q1332235)
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English | Fuzzy random variables, expectation, and martingales |
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Fuzzy random variables, expectation, and martingales (English)
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15 March 1995
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Similar to \textit{M. L. Puri} and \textit{D. A. Ralescu} [ibid. 114, 409-422 (1986; Zbl 0592.60004)], the author introduces fuzzy random variables and the associated complete metric spaces. A fuzzy valued integral is defined and applied to the definition of conditional expectation and of fuzzy martingales. By using own results and results from \textit{F. Hiai} and \textit{H. Umegaki} [J. Multivariate Anal. 7, 149-182 (1977; Zbl 0368.60006)], some properties are proved which are fuzzy analoga of the classical ones.
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fuzzy random variables
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fuzzy valued integral
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conditional expectation
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fuzzy martingales
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