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arXiv · 2012.06988

Remarks on martingale representation theorem for set-valued martingales

Jinping Zhang·Kouji Yano
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Abstract

Martingale representation theorem for set-valued martingales was proposed by M. Kisielewicz [J. Math. Anal. Appl. 2014]. We shall prove that the result holds only for very special case: the set-valued martingale degenerates to the point-valued one. A revised representation theorem for a special kind of non-degenerate set-valued martingales is presented.

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Jinping Zhang, Kouji Yano. 2020-12-13. Remarks on martingale representation theorem for set-valued martingales. https://arxiv.org/abs/2012.06988

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