Geodesic
Martingale selection problem in the case of finite disrete time
Teoriâ veroâtnostej i ee primeneniâ, Tome 50 (2005) no. 3, pp. 480-500

Voir la notice de l'article provenant de la source Math-Net.Ru

We consider a multivalued stochastic process specified on a filtered probability space. Assuming that the values of the process are convex we establish a criterion for the existence of an adapted sequence of selectors that can be transformed into a martingale by an equivalent change of measure. The criterion has a geometric nature and is expressed in terms of the supports of the regular conditional upper distributions of the elements of the multivalued process.
Keywords: martingale measures, multivalued mappings, measurable choice, supports of regular conditional distributions, Castaing's representation. 
@article{TVP_2005_50_3_a3,
     author = {D. B. Rokhlin},
     title = {Martingale selection problem in the case of finite disrete time},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {480--500},
     publisher = {mathdoc},
     volume = {50},
     number = {3},
     year = {2005},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2005_50_3_a3/}
}
TY  - JOUR
AU  - D. B. Rokhlin
TI  - Martingale selection problem in the case of finite disrete time
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2005
SP  - 480
EP  - 500
VL  - 50
IS  - 3
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_2005_50_3_a3/
LA  - ru
ID  - TVP_2005_50_3_a3
ER  - 
%0 Journal Article
%A D. B. Rokhlin
%T Martingale selection problem in the case of finite disrete time
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2005
%P 480-500
%V 50
%N 3
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_2005_50_3_a3/
%G ru
%F TVP_2005_50_3_a3
D. B. Rokhlin. Martingale selection problem in the case of finite disrete time. Teoriâ veroâtnostej i ee primeneniâ, Tome 50 (2005) no. 3, pp. 480-500. http://geodesic.mathdoc.fr/item/TVP_2005_50_3_a3/