Metatimes, random measures and cylindrical random variables

DOI10.15559/21-VMSTA178MaRDI QIDQ2062457zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth, Iben Cathrine Simonsen

Publication date 27 December 2021

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15559/21-vmsta178

zbMATH Keywords

cylindrical random variablelinear operatormetatimerandom measuretrawl process

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Random measures (60G57) Random fields (60G60)

Review text

The authors study a metatime, which is a map between two \(\sigma\)-algebras, such that images of disjoint sets are disjoint and which distributes over taking a countable union of disjoint sets. A \(\sigma\)-metatime commutes with taking the complement. An example of a metatime is constructed by taking the inverse image of a measurable function. The authors uplift their definition of metatimes to become an isometric linear operator acting on \(L^2\)-spaces and study its properties. They also consider transformations of random measures with metatimes.

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Cites work

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Cited in

(3)

• Structural properties of randomized times
• Meta-times and extended subordination
• Research frontiers in ambit stochastics: in memory of Ole E. Barndorff-Nielsen

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