Doob's optional sampling theorem in Riesz spaces

DOI10.1007/S11117-011-0114-ZzbMATH Open1242.60041OpenAlexW2111220049MaRDI QIDQ409301FDOQ409301

Authors 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

martingalestopping timeconditional expectationvector latticestochastic process with continuous parameterstopped process

Mathematics Subject Classification ID

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

Recommendations

• Continuous stochastic processes in Riesz spaces: The Doob-Meyer decomposition
• Discrete-time stochastic processes on Riesz spaces.
• Generalization of Doob's optional sampling theorem for deformed submartingales
• Stopped processes and Doob's optional sampling theorem
• scientific article; zbMATH DE number 2129894

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

Cited in

(23)

• Maximal probability inequalities in vector lattices
• The Hájek-Rényi-Chow maximal inequality and a strong law of large numbers in Riesz spaces
• Discrete-time stochastic processes on Riesz spaces.
• Itô's rule and Lévy's theorem in vector lattices
• The Itô integral for martingales in vector lattices
• The Itô integral for Brownian motion in vector lattices. I
• The Itô integral for Brownian motion in vector lattices. II
• The Kolmogorov-Čentsov theorem and Brownian motion in vector lattices
• Optional sampling theorem for deformed submartingales
• Jensen's and martingale inequalities in Riesz spaces
• Quadratic variation of martingales in Riesz spaces
• Generalization of Doob's optional sampling theorem for deformed submartingales
• Andô-Douglas type characterization of optional projections and predictable projections
• Randomized Stopping Times: DOOB'S Optiomal Sampling Theorem and Optimal Stopping
• Girsanov's theorem in vector lattices
• scientific article; zbMATH DE number 2129894 (Why is no real title available?)
• Discrete stopping times in the lattice of continuous functions
• The Itô integral and near-martingales in Riesz spaces
• The quadratic variation of continuous time stochastic processes in vector lattices
• Markov processes on Riesz spaces
• scientific article; zbMATH DE number 5117140 (Why is no real title available?)
• Introduction to stopping time in stochastic finance theory. II
• Stopped processes and Doob's optional sampling theorem

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