Browsing Research Output by Subject "Stochastic process"
Now showing items 1-4 of 4
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Girsanov’s theorem in vector lattices
(Springer, 2019)In this paper we formulate and proof Girsanov’s theorem in vector lattices. To reach this goal, we develop the theory of cross-variation processes, derive the cross-variation formula and the Kunita–Watanabe inequality. ... -
The Itô integral for Brownian motion in vector lattices. Part1
(Elsevier, 2015)In this paper the Itô integral for Brownian motion is constructed in a vector lattice and some of its properties are derived. The assumption is that there exists a conditional expectation operator on the vector lattice and ... -
Jensen’s and martingale inequalities in Riesz spaces
(Elsevier, 2014)A functional calculus is defined and used to prove Jensen’s inequality for conditional expectations acting on Riesz spaces. Upcrossing inequalities, martingale inequalities and Doob’s L p-inequality for continuous time ... -
The quadratic variation of continuous time stochastic processes in vector lattices
(Elsevier, 2017)We define and study order continuity, topological continuity, γ-Hölder-continuity and Kolmogorov–Čentsov-continuity of continuous-time stochastic processes in vector lattices and show that every such kind of continuous ...