completeness under ucp convergence
For a -algebra on , we can look at the processes which are -measurable when regarded as a map from to . As the ucp topology is only defined for jointly measurable processes, we restrict attention to sub--algebras of the product .
Let be a sub--algebra of . Then, the set of -measurable processes is complete under ucp convergence.
That is, if is a sequence of -measurable processes such that as then for some -measurable process .
In particular, the spaces of jointly measurable, progressive, optional and predictable processes are each complete under ucp convergence. We can also look at the properties of the sample paths of the processes.
So, for example, the continuous, right-continuous, left-continuous and cadlag processes are each complete under the ucp topology. Furthermore, combining theorems 1 and 2, and using the fact that a cadlag process is adapted if and only if it is jointly measurable (see measurability of stochastic processes (http://planetmath.org/MeasurabilityOfStochasticProcesses)), the following useful result is obtained.
The space of cadlag adapted processes is complete under ucp convergence.
|Title||completeness under ucp convergence|
|Date of creation||2013-03-22 18:40:33|
|Last modified on||2013-03-22 18:40:33|
|Last modified by||gel (22282)|