Geodesic
Martingale selection problem in the case of finite disrete time
Teoriâ veroâtnostej i ee primeneniâ, Tome 50 (2005) no. 3, pp. 480-500 Cet article a éte moissonné depuis la source Math-Net.Ru

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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. 
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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/

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