A Generalization of Kolmogorov's Extension Theorem and an Application to the Construction of Stochastic Processes with Random Time Domains
K. Y. Hu · The Annals of Probability · 1988
Kolmogorov's extension theorem is generalized so that the time domain is a random set. This is applied to the construction of stochastic processes with random time domains, generalizing certain results of Dynkin and Kuznetsov.