Stopped processes and Doob's optional sampling theorem

DOI10.1016/J.JMAA.2020.124875zbMATH Open1464.60037arXiv2007.05171OpenAlexW3110755714MaRDI QIDQ1996161FDOQ1996161

Authors: Jacobus J. Grobler 

Publication date: 3 March 2021

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: Using the spectral measure $m{u}_{m}athbbS$ of the stopping time $mathbbS,$ we define the stopping element $X_{m}athbbS$ as a Daniell integral $int{X}_t,dm{u}_{m}athbbS$ for an adapted stochastic process $(X_t{)}_{tinJ}$ that is a Daniell summable vector-valued function. This is an extension of the definition previously given for right-order-continuous sub-martingales with the Doob-Meyer decomposition property. The more general definition of $X_{m}athbbS$ necessitates a new proof of Doob's optional sampling theorem, because the definition given earlier for sub-martingales implicitly used Doob's theorem applied to martingales. We provide such a proof, thus removing the heretofore necessary assumption of the Doob-Meyer decomposition property in the result. Another advancement presented in this paper is our use of unbounded order convergence, which properly characterizes the notion of almost everywhere convergence found in the classical theory. Using order projections in place of the traditional indicator functions, we also generalize the notion of uniformly integrable sequences. In an essential ingredient to our main theorem mentioned above, we prove that uniformly integrable sequences that converge with respect to unbounded order convergence also converge to the same element in $mathcal{L}^1$.

Full work available at URL: https://arxiv.org/abs/2007.05171

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zbMATH Keywords

stopping timestochastic processvector latticeRiesz spacestopped process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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Cited In (9)

• Doob's optional sampling theorem in Riesz spaces
• The sup-completion of a Dedekind complete vector lattice
• Maximal probability inequalities in vector lattices
• The Itô integral and near-martingales in Riesz spaces
• Corrigendum to: ``Stopped processes and Doob's optional sampling theorem
• Burkholder theorem in Riesz spaces
• Generalization of Doob's optional sampling theorem for deformed submartingales
• The Kac formula and Poincaré recurrence theorem in Riesz spaces
• Discrete stopping times in the lattice of continuous functions

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