2014/02/05 by Liang Hong, Hong, Liang
Decision Sciences · Economics, Econometrics and Finance · #60A10 #60G07 #Economic theories and models #FOS: Mathematics #Primary 47B60 #Probability (math.PR) #Risk and Portfolio Optimization #Secondary 06F30 #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1402.1155
openalex publication_date 2014/02/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Generalized conditional expectations, optional projections and predictable projections of stochastic processes play important roles in the general theory of stochastic processes, semimartingale theory and stochastic calculus. They share some important properties with ordinary conditional expectations. While the characterization of ordinary conditional expectations has been studied by several authors, no similar work seems to have been done for these three concepts. This paper aims at undertaking this task by giving Ando-Douglas type characterization theorem for each of them.