Weak star convergence of martingales in a dual space
Tom 92 / 2011
In this paper we present various weak star Kuratowski convergence results for multivalued martingales, supermartingales and multivalued mils in the dual of a separable Banach space. We establish several integral representation formulas for convex weak star compact valued multifunctions defined on a Köthe space and derive several existence results of conditional expectation for multivalued Gelfand-integrable multifunctions. Similar convergence results for Gelfand-integrable martingales in the dual space are provided. We also present a new version of Mosco convergence result for unbounded closed convex integrable supermartingales in a separable Banach spaces having the Radon-Nikodym property. New application to the law of large numbers is also presented.