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

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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Year of publication:	1991
Authors:	Hess, Christian
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 39.1991, 1, p. 175-201
Publisher:	Elsevier
Keywords:	multivalued conditional expectation multivalued martingale projective limit Krickeberg's decomposition for a real valued submartingale normal integrand Mosco convergence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006398