Cones and decomposition of sub- and supermartingales (Q1885694)
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scientific article; zbMATH DE number 2115132
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| English | Cones and decomposition of sub- and supermartingales |
scientific article; zbMATH DE number 2115132 |
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Cones and decomposition of sub- and supermartingales (English)
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12 November 2004
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This paper generalizes results by \textit{Y. Feng} [Fuzzy Sets Syst. 116, 225--235 (2000; Zbl 0966.60042)] and \textit{Y. Feng} and \textit{X. Zhu} [ibid. 130, 75--86 (2002; Zbl 1015.60039)] where fuzzy sub- and supermartingale decomposition theorems are studied. The author shows how cone techniques can serve to improve, generalize and shed new light on the results of Feng. For this purpose, Doob's decomposition for submartingales with fuzzy values is discussed at length. The supermartingale case, having less complications, is given without proof.
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fuzzy random variables
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martingale theory
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Doob's decomposition theorem
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0.89718795
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0.8864242
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0.8842529
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0.88144886
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0.8809899
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0.88095546
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