Continuous stochastic processes in Riesz spaces: The Doob-Meyer decomposition

DOI10.1007/s11117-010-0088-2zbMath1216.46005OpenAlexW2163303115MaRDI QIDQ618834

Jacobus J. Grobler

Publication date: 17 January 2011

Published in: Positivity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11117-010-0088-2

zbMATH Keywords

Doob-Meyer decompositionvector latticesubmartingalestochastic process with continuous parameter

Mathematics Subject Classification ID

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 (21)

Maximal probability inequalities in vector lattices ⋮ Burkholder inequalities in Riesz spaces ⋮ The Itô integral for martingales in vector lattices ⋮ Doob's optional sampling theorem in Riesz spaces ⋮ 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 ⋮ On the distribution function with respect to conditional expectation on Riesz spaces ⋮ Bernoulli Processes in Riesz Spaces ⋮ 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 ⋮ On the decompositions of \(T\)-quasi-martingales on Riesz spaces ⋮ Burkholder theorem in Riesz spaces ⋮ The Hájek-Rényi-Chow maximal inequality and a strong law of large numbers in Riesz spaces ⋮ Girsanov's theorem in vector lattices

Cites Work

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• 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.
• A decomposition theorem for supermartingales
• Convergence of Riesz space martingales
• A Martingale Convergence Theorem in Vector Lattices

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