Andô-Douglas type characterization of optional projections and predictable projections

DOI10.1016/J.INDAG.2015.01.001zbMATH Open1339.60031arXiv1402.1155OpenAlexW1980936235MaRDI QIDQ2017798FDOQ2017798

Liang Hong

Publication date: 23 March 2015

Published in: Indagationes Mathematicae. New Series (Search for Journal in Brave)

Abstract: Generalized conditional expectations, optional projections and predictable projections of stochastic processes play important roles in the general theory of stochastic processes, semimartingale theory and stochastic calculus. They share some important properties with ordinary conditional expectations. While the characterization of ordinary conditional expectations has been studied by several authors, no similar work seems to have been done for these three concepts. This paper aims at undertaking this task by giving And$hato$-Douglas type characterization theorem for each of them.

Full work available at URL: https://arxiv.org/abs/1402.1155

zbMATH Keywords

stochastic processespredictable projectionsMarkov projectionsoptional projections

Mathematics Subject Classification ID

General theory of stochastic processes (60G07)

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