The Itô integral and near-martingales in Riesz spaces

DOI10.1080/03610926.2021.2003401MaRDI QIDQ6169395

Ghadir Sadeghi, Mahin Sadat Divandar

Publication date: 11 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

Brownian motionItô integralRiesz spacenear-martingaleinstantly independent

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Ordered topological linear spaces, vector lattices (46A40)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Doob's optional sampling theorem in Riesz spaces
• The Itô integral for Brownian motion in vector lattices. I
• Continuous stochastic processes in Riesz spaces: The Doob-Meyer decomposition
• Discrete stochastic integration in Riesz spaces
• Anticipative Girsanov transformations
• Conditional expectations on Riesz spaces
• Discrete-time stochastic processes on Riesz spaces.
• Markov processes on Riesz spaces
• Stopped processes and Doob's optional sampling theorem
• The Kolmogorov-Čentsov theorem and Brownian motion in vector lattices
• Convergence of Riesz space martingales
• A trick for investigation of near-martingales in quantum probability spaces
• A Martingale Convergence Theorem in Vector Lattices
• Stochastic integral
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