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

DOI10.1214/AOP/1176991896MaRDI QIDQ1102033zbMATH OpenOpenAlexFDO

Authors B. George

Publication date 1988

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176991896

zbMATH Keywords

existence of stochastic processes on random time intervalsextension of Kolmogorov's theorem to spaces of functions with possibly different domains

Mathematics Subject Classification ID

Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Foundations of stochastic processes (60G05)

Review text

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.

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