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Titel: The new maximal measures for stochastic processes
Verfasser: König, Heinz
Sprache: Englisch
Erscheinungsjahr: 2004
DDC-Sachgruppe: 510 Mathematik
Dokumentart : Preprint (Vorabdruck)
Kurzfassung: In recent work the author proposed a reformed notion of stochastic processes, which in particular removes notorious problems with uncountable time domains. In case of a Polish state space the new stochastic processes are in one-to-one correspondence with the traditional ones. This implies for a stochastic process that the traditional canonical measure on the path space receives a certain distinguished maximal measure extension which has an immense domain. In the present paper we prove, under a certain local compactness condition on the Polish state space and for the time domain [0,∞[, that the maximal domain in question has, for all stochastic processes, three distinguished members: the set of all continuous paths, the set of all paths with one-sided limits, and its subset of those paths which at each time are either left or right continuous. In all these cases the maximal measure of the set is equal to its outer canonical measure. However, the situation will be seen to be different for the set of the cadlag paths, for example in the Poisson process.
Link zu diesem Datensatz: urn:nbn:de:bsz:291-scidok-44761
hdl:20.500.11880/26324
http://dx.doi.org/10.22028/D291-26268
Schriftenreihe: Preprint / Fachrichtung Mathematik, Universität des Saarlandes
Band: 117
SciDok-Publikation: 16-Jan-2012
Fakultät: Fakultät 6 - Naturwissenschaftlich-Technische Fakultät I
Fachrichtung: MI - Mathematik
Fakultät / Institution:MI - Fakultät für Mathematik und Informatik

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