Spaces of regular abstract martingales (Q891432)

This paper is a continuation of the paper of \textit{V. G. Troitsky} [Positivity 9, No. 3, 437--456 (2005; Zbl 1101.60028)]. Martingales over a vector lattice \(E\) are attached to filtrations. A filtration is a sequence \((P_{n})_{n}\) of positive linear projections on \(E\) such that \(P_{n}P_{m}=P_{n\wedge m}\). A sequence \(X=(x_{n})_{n}\) of elements of \(E\) is a martingale with respect to the filtration \((P_{n})_{n}\) if \ \(P_{n}x_{m}=x_{n}\) whenever \(m\geq n\). The space \(M=M(E,(P_{n})_{n})\) of all martingales on \(E\) with respect to the filtration \((P_{n})_{n}\) is an ordered vector space when endowed with the coordinate-wise order. An important subspace is \(M_{r}\), the ordered vector space of all regular martingales (that is, of those martingales \(X\in M\) that can be represented as a difference of positive martingales). Simple examples show that \(M_{r}\) may not be a vector lattice even when \(E\) is such a space. However, if \(E\) is an order complete vector lattice, then so is \(M_{r}\) (see Theorem 1.1). The authors succeed to indicate fairly general conditions under which the modulus \(|X|=(|X|_{n})_{n}\) of a regular martingale \(X=(x_{n})_{n}\) satisfies Krickeberg's formula, \(|X|_{n}=\sup\left\{ P_{n}|x_{m}|:m\geq n\right\}\). The paper culminates with Theorem 3.8 that asserts the equivalence of the following three assertions for a Banach lattice \(E\) with an order continuous norm: (1) \(E\) does not contain a sublattice isomorphic to \(c_{0};\) (2) \(M=M_{r}\) for every uniformly bounded filtration \((P_{n})_{n}\) on \(E;\) (3) \(M\) is a vector lattice for any uniformly bounded filtration \((P_{n})_{n}\) on \(E\).