Martingales on Riesz Spaces and Banach Lattices

Date
2006-11-17T10:20:58Z
Authors
Fitz, Mark
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Abstract
The aim of this work is to do a literature study on spaces of martingales on Riesz spaces and Banach lattices, using [16, 19, 20, 17, 18, 2, 30] as a point of departure. Convergence of martingales in the classical theory of stochastic processes has many applications in mathematics and related areas. Operator theoretic approaches to the classical theory of stochastic processes and martingale theory in particular, can be found in, for example, [4, 5, 6, 7, 13, 15, 26, 27]. The classical theory of stochastic processes for scalar-valued measurable functions on a probability space ( ,, μ) utilizes the measure space ( ,, μ), the norm structure of the associated Lp(μ)-spaces as well as the order structure of these spaces. Motivated by the existing operator theoretic approaches to classical stochastic processes, a theory of discrete-time stochastic processes has been developed in [16, 19, 20, 17, 18] on Dedekind complete Riesz spaces with weak order units. This approach is measure-free and utilizes only the order structure of the given Riesz space. Martingale convergence in the Riesz space setting is considered in [18]. It was shown there that the spaces of order bounded martingales and order convergent martingales, on a Dedekind complete Riesz space with a weak order unit, coincide. A measure-free approach to martingale theory on Banach lattices with quasi-interior points has been given in [2]. Here, the groundwork was done to generalize the notion of a filtration on a vector-valued Lp-space to the M-tensor product of a Banach space and a Banach lattice (see [1]). In [30], a measure-free approaches to martingale theory on Banach lattices is given. The main results in [30] show that the space of regular norm bounded martingales and the space of norm bounded martingales on a Banach lattice E are Banach lattices in a natural way provided that, for the former, E is an order continuous Banach lattice, and for the latter, E is a KB-space. The definition of a ”martingale” defined on a particular space depends on the type of space under consideration and on the ”filtration,” which is a sequence of operators defined on the space. Throughout this dissertation, we shall consider Riesz spaces, Riesz spaces with order units, Banach spaces, Banach lattices and Banach lattices with quasi-interior points. Our definition of a ”filtration” will, therefore, be determined by the type of space under consideration and will be adapted to suit the case at hand. In Chapter 2, we consider convergent martingale theory on Riesz spaces. This chapter is based on the theory of martingales and their properties on Dedekind complete Riesz spaces with weak order units, as can be found in [19, 20, 17, 18]. The notion of a ”filtration” in this setting is generalized to Riesz spaces. The space of martingales with respect to a given filtration on a Riesz space is introduced and an ordering defined on this space. The spaces of regular, order bounded, order convergent and generated martingales are introduced and properties of these spaces are considered. In particular, we show that the space of regular martingales defined on a Dedekind complete Riesz space is again a Riesz space. This result, in this context, we believe is new. The contents of Chapter 3 is convergent martingale theory on Banach lattices. We consider the spaces of norm bounded, norm convergent and regular norm bounded martingales on Banach lattices. In [30], filtrations (Tn) on the Banach lattice E which satisfy the condition 1[n=1 R(Tn) = E, where R(Tn) denotes the range of the filtration, are considered. We do not make this assumption in our definition of a filtration (Tn) on a Banach lattice. Our definition yields equality (in fact, a Riesz and isometric isomorphism) between the space of norm convergent martingales and 1Sn=1R(Tn). The aforementioned main results in [30] are also considered in this chapter. All the results pertaining to martingales on Banach spaces in subsections 3.1.1, 3.1.2 and 3.1.3 we believe are new. Chapter 4 is based on the theory of martingales on vector-valued Lp-spaces (cf. [4]), on its extension to the M-tensor product of a Banach space and a Banach lattice as introduced by Chaney in [1] (see also [29]) and on [2]. We consider filtrations on tensor products of Banach lattices and Banach spaces as can be found in [2]. We show that if (Sn) is a filtration on a Banach lattice F and (Tn) is a filtration on a Banach space X, then 1[n=1 R(Tn Sn) = 1[n=1 R(Tn) e M 1[n=1 R(Sn). This yields a distributive property for the space of convergent martingales on the M-tensor product of X and F. We consider the continuous dual of the space of martingales and apply our results to characterize dual Banach spaces with the Radon- Nikod´ym property. We use standard notation and terminology as can be found in standard works on Riesz spaces, Banach spaces and vector-valued Lp-spaces (see [4, 23, 29, 31]). However, for the convenience of the reader, notation and terminology used are included in the Appendix at the end of this work. We hope that this will enhance the pace of readability for those familiar with these standard notions.
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Student Number : 0413210T - MSc dissertation - School of Mathematics - Faculty of Science
Keywords
spaces of martingales , Riesz spaces , Banach lattices , Convergence of martingales , Tensor Products , Martingales
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