§ 1. IntroductionLet (Q, &~, P) be a separable probability space with &~=a (An> n>l), ^ be a sub o-field of &~. SetandF*-E\.I<t<t>m a.g..(2)By Follmer Lemma (o.f. [1], Th. 3.5 and T...§ 1. IntroductionLet (Q, &~, P) be a separable probability space with &~=a (An> n>l), ^ be a sub o-field of &~. SetandF*-E\.I<t<t>m a.g..(2)By Follmer Lemma (o.f. [1], Th. 3.5 and Th. 3.7), we may assume that we have chosen a version of (Ft)t><> such that for all w, F.(w} is a right continuousincreasing function with F0(w~) =0 and Ft(w} =1 for all t^--. (Such a version of￡(Ft) can also be constructed by elementary method.) For a fixed w, denote by展开更多
文摘§ 1. IntroductionLet (Q, &~, P) be a separable probability space with &~=a (An> n>l), ^ be a sub o-field of &~. SetandF*-E\.I<t<t>m a.g..(2)By Follmer Lemma (o.f. [1], Th. 3.5 and Th. 3.7), we may assume that we have chosen a version of (Ft)t><> such that for all w, F.(w} is a right continuousincreasing function with F0(w~) =0 and Ft(w} =1 for all t^--. (Such a version of￡(Ft) can also be constructed by elementary method.) For a fixed w, denote by
