{"title":"Joint Distributions of Generalized Integrable Increasing Processes and Their Generalized Compensators","authors":"D. A. Borzykh","doi":"10.1137/s0040585x97t991714","DOIUrl":null,"url":null,"abstract":"Theory of Probability &Its Applications, Volume 69, Issue 1, Page 1-24, May 2024. <br/> Let $\\Lambda$ be the set of all boundary joint laws $\\operatorname{Law} ([X_a, A_a], [X_b, A_b])$ at times $t=a$ and $t=b$ of integrable increasing processes $(X_t)_{t \\in [a, b]}$ and their compensators $(A_t)_{t \\in [a, b]}$, which start at the initial time from an arbitrary integrable initial condition $[X_a, A_a]$. We show that $\\Lambda$ is convex and closed relative to the $\\psi$-weak topology with linearly growing gauge function $\\psi$. We obtain necessary and sufficient conditions for a probability measure $\\lambda$ on $\\mathcal{B}(\\mathbf{R}^2 \\times \\mathbf{R}^2)$ to lie in the class of measures $\\Lambda$. The main result of the paper provides, for two measures $\\mu_a$ and $\\mu_b$ on $\\mathcal{B}(\\mathbf{R}^2)$, necessary and sufficient conditions for the set $\\Lambda$ to contain a measure $\\lambda$ for which $\\mu_a$ and $\\mu_b$ are marginal distributions.","PeriodicalId":51193,"journal":{"name":"Theory of Probability and its Applications","volume":"5 1","pages":""},"PeriodicalIF":0.5000,"publicationDate":"2024-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Theory of Probability and its Applications","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1137/s0040585x97t991714","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 0
Abstract
Theory of Probability &Its Applications, Volume 69, Issue 1, Page 1-24, May 2024. Let $\Lambda$ be the set of all boundary joint laws $\operatorname{Law} ([X_a, A_a], [X_b, A_b])$ at times $t=a$ and $t=b$ of integrable increasing processes $(X_t)_{t \in [a, b]}$ and their compensators $(A_t)_{t \in [a, b]}$, which start at the initial time from an arbitrary integrable initial condition $[X_a, A_a]$. We show that $\Lambda$ is convex and closed relative to the $\psi$-weak topology with linearly growing gauge function $\psi$. We obtain necessary and sufficient conditions for a probability measure $\lambda$ on $\mathcal{B}(\mathbf{R}^2 \times \mathbf{R}^2)$ to lie in the class of measures $\Lambda$. The main result of the paper provides, for two measures $\mu_a$ and $\mu_b$ on $\mathcal{B}(\mathbf{R}^2)$, necessary and sufficient conditions for the set $\Lambda$ to contain a measure $\lambda$ for which $\mu_a$ and $\mu_b$ are marginal distributions.
期刊介绍:
Theory of Probability and Its Applications (TVP) accepts original articles and communications on the theory of probability, general problems of mathematical statistics, and applications of the theory of probability to natural science and technology. Articles of the latter type will be accepted only if the mathematical methods applied are essentially new.