Decomposition theorems for fuzzy supermartingales and submartingales

DOI10.1016/S0165-0114(98)00065-7MaRDI QIDQ1590610zbMATH OpenOpenAlexFDO

Authors Yuhu Feng

Publication date 12 August 2001

Published in Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-0114(98)00065-7

zbMATH Keywords

Doob decompositionfuzzy martingaleRiesz decompositionsubmartingalesupermartingale

Mathematics Subject Classification ID

Fuzzy measure theory (28E10) Generalizations of martingales (60G48)

Review text

The aim of this paper is to generalize the Doob decomposition and the Riesz decomposition theorems of standard martingale theory to the case of fuzzy martingales. The fact that the fuzzy number space is not a linear space represents one of the main difficulties to obtain the intended results. In order to overcome this problem. Section 2 gives the representation theorem of fuzzy numbers on the basis of their support functions, and uses the concept of H-difference of fuzzy numbers and its properties. Different measurability concepts for fuzzy random variables, relationships among them, and two counterexamples are discussed. Section 3 studies the Doob decomposition of fuzzy supermartingales and submartingales. Since not all fuzzy supermartingales and submartingales are proved to have Doob decomposition, the author obtains necessary and sufficient conditions for a fuzzy supermartingale (respective submartingale) to provide Doob decomposition. Section 4 is devoted to Riesz decomposition for fuzzy supermartingales. Two notions of Riesz decomposition are defined, and necessary and sufficient conditions for a fuzzy supermartingale to have Riesz decomposition are analyzed.

Recommendations

• Doob's Decomposition Theorem for Fuzzy (Super) Submartingales
• Semi-order fuzzy supermartingales and submartingales with continuous time
• The martingale decomposition for set-valued superpramart
• Cones and decomposition of sub- and supermartingales
• Convergence theorems for fuzzy random variables and fuzzy martingales

Cites work

• Convergence theorem for fuzzy martingales
• Convergence theorems for fuzzy random variables and fuzzy martingales
• Fuzzy differential equations
• Fuzzy random variables
• Gaussian fuzzy random variables
• scientific article; zbMATH DE number 481040 (Why is no real title available?)
• Measurability concepts for fuzzy mappings
• Metric spaces of fuzzy sets
• On the convergence of fuzzy sets

Cited in

(10)

• Statistical aspects of fuzzy monotone set-valued stochastic processes. Application to birth-and-growth processes
• The solutions of linear fuzzy stochastic differential systems.
• Note on ``Sums of independent fuzzy random variables
• On the convergence of fuzzy martingales
• Semi-order fuzzy supermartingales and submartingales with continuous time
• Cones and decomposition of sub- and supermartingales
• Doob's Decomposition Theorem for Fuzzy (Super) Submartingales
• Doob's decomposition of fuzzy submartingales via ordered near vector spaces
• An approach to generalize laws of large numbers for fuzzy random variables
• Overview on the development of fuzzy random variables

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