Remarks on martingale representation theorem for set-valued martingales
Probability
2020-12-15 v1
Abstract
Martingale representation theorem for set-valued martingales was proposed by M. Kisielewicz [J. Math. Anal. Appl. 2014]. We shall prove that the result holds only for very special case: the set-valued martingale degenerates to the point-valued one. A revised representation theorem for a special kind of non-degenerate set-valued martingales is presented.
Keywords
Cite
@article{arxiv.2012.06988,
title = {Remarks on martingale representation theorem for set-valued martingales},
author = {Jinping Zhang and Kouji Yano},
journal= {arXiv preprint arXiv:2012.06988},
year = {2020}
}
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