On multivalued martingales whose values may be unbounded: martingale selectors and mosco convergence

Christian Hess

Journal of Multivariate Analysis, 1991, vol. 39, issue 1, 175-201

Abstract: Using classical results on the projective limit of a sequence of subsets, we show the existence of martingale selectors for a multivalued martingale (and supermartingale) with closed values in a separable Banach space X. The existence of L1(X)-bounded or uniformly integrable martingale selectors is also discussed. At last, applications to the Mosco convergence of multivalued supermartingales and supermartingale integrands are provided.

Keywords: multivalued; conditional; expectation; multivalued; martingale; projective; limit; Krickeberg's; decomposition; for; a; real; valued; submartingale; normal; integrand; Mosco; convergence (search for similar items in EconPapers)
Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(91)90012-Q
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:39:y:1991:i:1:p:175-201

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().