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On representation and regularity of continuous parameter multivalued martingales |
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| Authors: | Dong Wenlong Wang Zhenpeng |
| Institution: | Department of Mathematics, University of Southern California, Los Angeles, California 90089 ; Department of Mathematical Statistics, East China Normal University, Shanghai 200062, People's Republic of China |
| Abstract: | In this paper we study multivalued martingales in continuous time. First we show that every multivalued martingale in continuous time can be represented as the closure of a sequence of martingale selections. Then we prove two results concerning the cadlag modifications of continuous time multivalued martingales, in Kuratowski-Mosco convergence and in convergence in the Hausdorff metric respectively. |
| Keywords: | Cadlag modification continuous parameter multivalued martingales Kuratowski-Mosco convergence martingale selections right-closed martingales |
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