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On multivalued martingales whose values may be unbounded: martingale selectors and mosco convergence

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Author Info
Hess, Christian
Abstract

Using classical results on the projective limit of a sequence of subsets, we show the existence of martingale selectors for a multivalued martingale (and supermartingale) with closed values in a separable Banach space X. The existence of L1(X)-bounded or uniformly integrable martingale selectors is also discussed. At last, applications to the Mosco convergence of multivalued supermartingales and supermartingale integrands are provided.

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Publisher Info
Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 39 (1991)
Issue (Month): 1 (October)
Pages: 175-201
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Handle: RePEc:eee:jmvana:v:39:y:1991:i:1:p:175-201

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Related research
Keywords: multivalued conditional expectation multivalued martingale projective limit Krickeberg's decomposition for a real valued submartingale normal integrand Mosco convergence;

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  1. Katsiaryna Kaval & Ilya Molchanov, 2005. "Link-save trading and pricing of contingent claims," Finance 0511017, EconWPA. [Downloadable!]
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