Cones and decomposition of sub- and supermartingales

DOI10.1016/J.FSS.2003.08.003MaRDI QIDQ1885694zbMATH OpenOpenAlexFDO

Authors Pedro Terán

Publication date 12 November 2004

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

Full work available at URL https://doi.org/10.1016/j.fss.2003.08.003

zbMATH Keywords

Doob's decomposition theoremfuzzy random variablesmartingale theory

Mathematics Subject Classification ID

Generalizations of martingales (60G48)

Review text

This paper generalizes results by \textit{Y. Feng} [Fuzzy Sets Syst. 116, 225--235 (2000; Zbl 0966.60042)] and \textit{Y. Feng} and \textit{X. Zhu} [ibid. 130, 75--86 (2002; Zbl 1015.60039)] where fuzzy sub- and supermartingale decomposition theorems are studied. The author shows how cone techniques can serve to improve, generalize and shed new light on the results of Feng. For this purpose, Doob's decomposition for submartingales with fuzzy values is discussed at length. The supermartingale case, having less complications, is given without proof.

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Cited in

(6)

• Statistical aspects of fuzzy monotone set-valued stochastic processes. Application to birth-and-growth processes
• Decomposition theorems for fuzzy supermartingales and submartingales
• Semi-order fuzzy supermartingales and submartingales with continuous time
• A note on Lévy subordinators in cones of fuzzy sets in Banach spaces
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• Overview on the development of fuzzy random variables

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