On multivalued martingales whose values may be unbounded: Martingale selectors and Mosco convergence

DOI10.1016/0047-259X(91)90012-QzbMath0746.60051MaRDI QIDQ1182754

Hess, Christian

Publication date: 28 June 1992

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

stochastic optimizationexistence of martingale selectionsmultivalued martingale

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Geometric probability and stochastic geometry (60D05) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Generalizations of martingales (60G48) Vector-valued set functions, measures and integrals (28B05) Random convex sets and integral geometry (aspects of convex geometry) (52A22)

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Cites Work

• Intégrales convexes et probabilités
• M-convergence, et régularité des martingales multivoques: Epi- martingales. (M-convergence and regularity of multivalued martingales: Epi-martingales)
• On a.s. convergence of classes of multivalued asymptotic martingales
• Convex analysis and measurable multifunctions
• Integrals, conditional expectations, and martingales of multivalued functions
• Measurability and integrability of the weak upper limit of a sequence of multifunctions
• Quelques résultats de convergence des suites adaptées. (Some convergence results on adapted sequences)
• Convergence of convex sets and of solutions of variational inequalities
• Stopping Time Techniques for Analysts and Probabilists
• Support and distance functionals for convex sets
• Applications of set-valued Radon-Nikodym theorems to convergence of multivalued $L^1$-amarts.
• Convergence of Conditional Expectations and Strong Laws of Large Numbers for Multivalued Random Variables
• Convergence of Sequences of Convex Sets, Cones and Functions. II
• Quasi-Martingales.
• Convergence of sequences of convex sets, cones and functions
• Multivalued quasi-martingales and uniform amarts
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