Title :
Regularity of continuous-time fuzzy martingales
Author_Institution :
Dept. of Appl. Math., Dong Hua Univ., Shanghai, China
Abstract :
The paper discusses the regularity of continuous-time fuzzy martingales. The necessary and sufficient conditions that a continuous-time fuzzy submartingale has a right-continuous adapted modification are given. In particular, any continuous-time fuzzy martingale has a right-continuous adapted modification. The results are a generalization of the counterpart results of classical martingale theory and the proof is completely different. The principal technique is based on the key theorem by Y. Feng (1999) which states that the convergence of fuzzy numbers in uniform metric is transformed into the pointwise convergence of the corresponding support functions
Keywords :
convergence; fuzzy set theory; stochastic processes; theorem proving; classical martingale theory; continuous time fuzzy martingales; fuzzy numbers; pointwise convergence; proof; right-continuous adapted modification; sufficient conditions; support functions; uniform metric; Convergence; Filtration; Mathematics; Random variables; Sufficient conditions;
Conference_Titel :
IFSA World Congress and 20th NAFIPS International Conference, 2001. Joint 9th
Conference_Location :
Vancouver, BC
Print_ISBN :
0-7803-7078-3
DOI :
10.1109/NAFIPS.2001.944710
