The martingale decomposition for set-valued pramart
Gaoming Li · 2007
The paper use support function,we show convercence theorem.The properties of set-valued pramart are also discussed.we get the martingale decomposition of a real-valued pramart {xn,n≥1} with limn E|xn|∞.At the end of this paper,we show that a set-valued pramart {Fn,n≥1} with limn E‖Fn‖∞ can be written Fn=Gn+Zn,where {Gn,n≥1} is a martingale and where {Zn,n≥1} is a set-valued pramart while tend to zero in terms of Kuratowski-Mosco a.s.(i.e ZnK-M{0}).