Discrete-time stochastic processes on Riesz spaces.
Measure and integration theory has been as inspiring source for the development of the theory of Riesz spaces and positive operators. For example, the space of all measurable functions on some measurable space is a Riesz space and the integral is a positive operator on the space of all integrable functions. Moreover, even the construction of the Lebesgue integral is based on the notions of positivity and order convergence. The authors translate several notions of discrete martingale theory into the framework of Riesz spaces having a weak order unit; weak order units are needed as a substitute for the constants in spaces of measurable functions. The basic notion is that of a conditional expectation which is defined as an order continuous positive projection having a Dedekind complete range and preserving weak order units. Conditional expectations are then used to define filtrations and stopping times: A filtration is defined as a sequence of conditional expectations \( (T_i) \) satisfying \( T_jT_i = T_i = T_iT_j \) for all \( i \leq j \), and a stopping time with respect to the filtration \( (T_i) \) is defined as an increasing sequence of conditional expectations \( (P_i) \) satisfying \( P_i \leq I \) for all \( i \) and \( T_jP_i = P_iT_j \) for all \( i \leq j \). The definition of a (sub-/super-)martingale is then straightforward. In this abstract setting, the authors prove, among other results, the Doob-Meyer decomposition and the optional stopping theorem. The paper is pleasant to read since the authors take care to prepare the abstract definitions in the Riesz space setting by a thorough discussion of the corresponding traditional notions from martingale theory. It is likely that the general theory developed here can also be applied to asymptotic martingales.
- Characterizations of conditional expectation-type operators
- Conditional expectation and ordering
- Conditional measures and operators
- scientific article; zbMATH DE number 2129894 (Why is no real title available?)
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- Two Characterizations of Conditional Probability
- Operator martingale decompositions and the Radon-Nikodým property in Banach spaces
- Near-epoch dependence in Riesz spaces
- Mixing inequalities in Riesz spaces
- Conditional expectations on Riesz spaces
- Markov processes on Riesz spaces
- Mixingales on Riesz spaces
- Stopped processes and Doob's optional sampling theorem
- Itô's rule and Lévy's theorem in vector lattices
- Andô-Douglas type characterization of optional projections and predictable projections
- Burkholder theorem in Riesz spaces
- Maximal probability inequalities in vector lattices
- Generalization of the theorems of Barndorff-Nielsen and Balakrishnan-Stepanov to Riesz spaces
- The sup-completion of a Dedekind complete vector lattice
- Jensen's and martingale inequalities in Riesz spaces
- The Kolmogorov-Čentsov theorem and Brownian motion in vector lattices
- Quadratic variation of martingales in Riesz spaces
- The Hájek-Rényi-Chow maximal inequality and a strong law of large numbers in Riesz spaces
- Girsanov's theorem in vector lattices
- Unbounded order convergence and application to martingales without probability
- Unconditional Schauder decompositions and stopping times in the Lebesgue-Bochner spaces
- Burkholder inequalities in Riesz spaces
- The Itô integral for martingales in vector lattices
- A Banach lattice approach to convergent integrably bounded set-valued martingales and their positive parts
- Convergence of Riesz space martingales
- scientific article; zbMATH DE number 2129894 (Why is no real title available?)
- Riesz spaces valued measures and processes
- Doob's optional sampling theorem in Riesz spaces
- On the distribution function with respect to conditional expectation on Riesz spaces
- Bernoulli processes in Riesz spaces
- The Itô integral for Brownian motion in vector lattices. I
- The Kac formula and Poincaré recurrence theorem in Riesz spaces
- Chernoff’s inequality in Riesz spaces
- Discrete stopping times in the lattice of continuous functions
- The Itô integral and near-martingales in Riesz spaces
- Continuous stochastic processes in Riesz spaces: The Doob-Meyer decomposition
- Discrete stochastic integration in Riesz spaces
- Conditional indicators
- Efron-Stein and Hoeffding-Azuma inequalities in Riesz spaces
- A Kakutani-Rokhlin decomposition for conditionally ergodic process in the measure-free setting of vector lattices
- Martingale transforms in Riesz spaces
- On the decompositions of \(T\)-quasi-martingales on Riesz spaces
- An Andô-Douglas type theorem in Riesz spaces with a conditional expectation
- A description of norm-convergent martingales on vector-valued L^p-spaces
- Ergodic theory and the strong law of large numbers on Riesz spaces
- Amarts on Riesz spaces
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