Doob's optional sampling theorem in Reisz spaces
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Date
2011
Authors
Grobler, Jacobus Johannes
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Publisher
Springer
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Abstract
The notions of stopping times and stopped processes for continuous stochastic processes are defined and studied in the framework of Riesz spaces. This leads to a formulation and proof of Doob’s optional sampling theorem.
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Description
Special issue in memoriam of Charalambos D. Aliprantis.
Keywords
Stochastic process with continuous parameter, vector lattice, stopping time, stopped process, conditional expectation, Martingale uniqueness
Citation
Grobler, J.J. 2011. Doob's optional sampling theorem in Reisz spaces. Positivity, 15:617-637. [http://link.springer.com/journal/11117]