A generalization of Kolmogorov's extension theorem and an application to the construction of stochastic processes with random time domains (Q1102033)

According to Kolmogorov's familiar extension theorem, a consistent system of finite-dimensional distributions determines uniquely a probability measure on the appropriate product space \(\Pi \{S_ t:t\in T\}\). The latter is a space of functions with domain T, and the present paper establishes an extension of Kolmogorov's theorem to spaces of functions with possibly different domains (``random domains''). The result obtained implies earlier results of \textit{S. E. Kuznetsov} [Theory Probab. Appl. 18, 571-575 (1973; Zbl 0296.60049)] and \textit{E. B. Dynkin} [Stochastic analysis, Proc. int. Conf., Evanston/Ill. 1978; 63-77 (1978; Zbl 0494.60074)] on the existence of stochastic processes on random time intervals.