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A convergence theorem for a special class of stochastic processes 

Author: Richard Roumldler a
Affiliation:   a Fachbereich IV - Mathematik/Stochastik, University of Trier, Trier, Germany
DOI: 10.1080/07362999808809523
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 16, Issue 1 1998 , pages 153 - 162
Formats available: PDF (English)
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Abstract

In the present paper we study a special kind of stochastic processes. The usefulness of the result is illustrated by their applications to the straightforward convergence analysis of several schemes. We consider a filtrated probability space ./LSAA_A_8809523_O_XML_IMAGES/LSAA_A_8809523_O_ILM0001.gif  and an adapted stochastic process ./LSAA_A_8809523_O_XML_IMAGES/LSAA_A_8809523_O_ILM0002.gif  from ./LSAA_A_8809523_O_XML_IMAGES/LSAA_A_8809523_O_ILM0003.gif  Further let ./LSAA_A_8809523_O_XML_IMAGES/LSAA_A_8809523_O_ILM0004.gif  be a stochastic matrix which is adapted to the filtration ./LSAA_A_8809523_O_XML_IMAGES/LSAA_A_8809523_O_ILM0005.gif . The process ./LSAA_A_8809523_O_XML_IMAGES/LSAA_A_8809523_O_ILM0006.gif  satisfies the following condition./LSAA_A_8809523_O_XML_IMAGES/LSAA_A_8809523_O_UM0001.gif A special case of these processes is a classical submartingale
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