Optional and Predictable Projections of Normal Integrands and Convex-Valued Processes

Kiiski, Matti und Perkkiö, Ari-Pekka (2017): Optional and Predictable Projections of Normal Integrands and Convex-Valued Processes. In: Set-Valued and Variational Analysis, Bd. 25, Nr. 2: S. 313-332

Abstract

This article studies optional and predictable projections of integrands and convex-valued stochastic processes. The existence and uniqueness are shown under general conditions that are analogous to those for conditional expectations of integrands and random sets. In the convex case, duality correspondences between the projections and projections of epigraphs are given. These results are used to study projections of set-valued integrands. Consistently with the general theory of stochastic processes, projections are not constructed using reference measures on the optional and predictable sigma-algebras.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 1877-0533
• Sprache: Englisch