Discrete stochastic integration in Riesz spaces

Discrete stochastic integration in Riesz spaces In this work we continue the developments of Kuo et al. (Indag Math 15:435–451, 2004; J Math Anal Appl 303:509–521, 2005) with the construction of the martingale transform or discrete stochastic integral in a Riesz space (measure-free) setting. The discrete stochastic integral is considered both in terms of a weighted sum of differences and via bilinear vector-valued forms. For this, analogues of the spaces L 2 and Mart2 on Riesz spaces with a conditional expectation operator and a weak order unit are constructed using the f-algebra structure of the universal completion of the Riesz space and properties of the extension of the conditional expectation to its natural domain. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Positivity Springer Journals

Discrete stochastic integration in Riesz spaces

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Publisher
SP Birkhäuser Verlag Basel
Copyright
Copyright © 2010 by Springer Basel AG
Subject
Mathematics; Econometrics; Calculus of Variations and Optimal Control; Optimization; Potential Theory; Operator Theory; Fourier Analysis
ISSN
1385-1292
eISSN
1572-9281
D.O.I.
10.1007/s11117-010-0089-1
Publisher site
See Article on Publisher Site

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