On the Skorokhod representation theorem

DOI10.1090/S0002-9939-07-08922-8MaRDI QIDQ5423957zbMATH OpenOpenAlexFDO

Authors Jean C. Cortissoz

Publication date 1 November 2007

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0601524

Mathematics Subject Classification ID

Convergence of probability measures (60B10)

Abstract: In this paper we present a variant of the well known Skorokhod Representation Theorem. In our main result, given $S$ a Polish space, to a given continous path $alpha$ in the space of probability measures on $S$, we associate a continuous path in the space of $S$-valued random variables on a nonatomic probability space (endowed with the topology of the convergence in probability). We call this associated path a lifting of $alpha$. an interesting feature of our result is that we can fix the endpoints ("boundary values") of the lifting of $alpha$, as long as their distribution correspond to the endpoints ("boundary values") of $alpha$. We also discuss an $n$-dimensional generalization of this result.

Recommendations

• An Extension of Skorohod's Almost Sure Representation Theorem
• The Skorokhod representation theorem for Young measures
• A strong version of the Skorohod representation theorem
• A Skorohod representation theorem without separability
• Skorohod representation on a given probability space

Cites work

• An Extension of Skorohod's Almost Sure Representation Theorem
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• The Existence of Probability Measures with Given Marginals

Cited in

(12)

• On the behavior of the conditional expectations in Skorohod representation theorem
• Moderate deviation and central limit theorem for stochastic differential delay equations with polynomial growth
• Spanning tests for Markowitz stochastic dominance
• On the existence of continuous processes with given one-dimensional distributions
• A note on integral representations of the Skorokhod map
• Integral representation of Skorokhod reflection
• Testing for prospect and Markowitz stochastic dominance efficiency
• A strong version of the Skorohod representation theorem
• Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests
• The mean value property in fuzzy measure spaces
• Some Skorohod-type results
• A Skorohod representation theorem without separability

This page was built for publication: On the Skorokhod representation theorem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5423957)