Displaying similar documents to “Completion measurable linear functionals on a probability space”

Representation of Itô integrals by Lebesgue/Bochner integrals

Qi Lü, Jiongmin Yong, Xu Zhang (2012)

Journal of the European Mathematical Society

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In [Yong 2004], it was proved that as long as the integrand has certain properties, the corresponding Itô integral can be written as a (parameterized) Lebesgue integral (or a Bochner integral). In this paper, we show that such a question can be answered in a more positive and refined way. To do this, we need to characterize the dual of the Banach space of some vector-valued stochastic processes having different integrability with respect to the time variable and the probability measure....

Stochastic differential inclusions

Michał Kisielewicz (1997)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

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The definition and some existence theorems for stochastic differential inclusions depending only on selections theorems are given.

Transforming stochastic matrices for stochastic comparison with the st-order

Tuğrul Dayar, Jean-Michel Fourneau, Nihal Pekergin (2010)

RAIRO - Operations Research

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We present a transformation for stochastic matrices and analyze the effects of using it in stochastic comparison with the strong stochastic (st) order. We show that unless the given stochastic matrix is row diagonally dominant, the transformed matrix provides better st bounds on the steady state probability distribution.

Stochastic differential inclusions

Michał Kisielewicz (1999)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

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The definition and some existence theorems for stochastic differential inclusion dZₜ ∈ F(Zₜ)dXₜ, where F and X are set valued stochastic processes, are given.