Doob's optional sampling theorem in Riesz spaces

DOI10.1007/s11117-011-0114-zzbMath1242.60041OpenAlexW2111220049MaRDI QIDQ409301

Jacobus J. Grobler

Publication date: 12 April 2012

Published in: Positivity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11117-011-0114-z

zbMATH Keywords

stopping timeconditional expectationmartingalevector latticestochastic process with continuous parameterstopped process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Ordered topological linear spaces, vector lattices (46A40) Ordered abelian groups, Riesz groups, ordered linear spaces (06F20)

Related Items (16)

Maximal probability inequalities in vector lattices ⋮ The Itô integral for martingales in vector lattices ⋮ Optional Sampling Theorem for Deformed Submartingales ⋮ Discrete stopping times in the lattice of continuous functions ⋮ The Itô integral and near-martingales in Riesz spaces ⋮ The Itô integral for Brownian motion in vector lattices. I ⋮ The Itô integral for Brownian motion in vector lattices. II ⋮ The quadratic variation of continuous time stochastic processes in vector lattices ⋮ Stopped processes and Doob's optional sampling theorem ⋮ 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 ⋮ Itô's rule and Lévy's theorem in vector lattices ⋮ Andô-Douglas type characterization of optional projections and predictable projections ⋮ The Hájek-Rényi-Chow maximal inequality and a strong law of large numbers in Riesz spaces ⋮ Girsanov's theorem in vector lattices

Cites Work

• Continuous stochastic processes in Riesz spaces: The Doob-Meyer decomposition
• An Andô-Douglas type theorem in Riesz spaces with a conditional expectation
• Martingales in Banach lattices
• Ergodic theory and the strong law of large numbers on Riesz spaces
• Banach lattices
• Conditional expectations on Riesz spaces
• Discrete-time stochastic processes on Riesz spaces.
• Convergence of Riesz space martingales
• A Martingale Convergence Theorem in Vector Lattices
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