Some Structure and Comparison Results for Sequential Martingales in the Limit

Chinese Quarterly Journal of Mathematics ›› 2006, Vol. 21 ›› Issue (3): 434-442.

Some Structure and Comparison Results for Sequential Martingales in the Limit

Department of Mathematics, Shangqiu Vocational Technical College, Shangqiu 476000, China

Received:2005-09-12 Online:2006-09-30 Published:2023-11-29
About author:SUN Sheng-li(1963-),male,native of Minquan,Henan,an associate professor of Shangqiu Vocational Technical College,visiting scholar of Tsinghua University,engages in stochastic analysis and financial mathematical.
Supported by:
There are several important generalizations of martingales such as games fairer with time, quasi-mils and sequential Supported by the Natural Science Foundation of the Education Department of Henan province(200510483002)；

Abstract

Abstract: There are several important generalizations of martingales such as games fairer with time, quasi-mils and sequential martingales in the limit. In the note, we shall consider all possible structures of a probability space (Ω, A, (A_n), P) associated with a stochastic basis(A_n) of subσ-fields of A with An↑A. Then, we shall apply them to establish some comparison results for the aforementioned generalizations of martingales.

Key words: :quasi-mils, sequential , martingales , in , the , limit, purely , atomic , o-field

CLC Number:

O211.6

SUN Sheng-li . Some Structure and Comparison Results for Sequential Martingales in the Limit[J]. Chinese Quarterly Journal of Mathematics, 2006, 21(3): 434-442.

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Some Structure and Comparison Results for Sequential Martingales in the Limit

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