Martingale-like sequences in Banach lattices

Abstract

Martingale-like sequences in vector lattice and Banach lattice frameworks are defined in the same way as martingales are defined in [Positivity 9 (2005), 437–456]. In these frameworks, a collection of bounded X-martingales is shown to be a Banach space under the supremum norm, and under some conditions it is also a Banach lattice with coordinate-wise order. Moreover, a necessary and sufficient condition is presented for the collection of $\mathcal{E}$-martingales to be a vector lattice with coordinate-wise order. It is also shown that the collection of bounded $\mathcal{E}$-martingales is a normed lattice but not necessarily a Banach space under the supremum norm.

Keywords

• Banach lattices
• martingales
• <italic>E</italic>-martingales
• <italic>X</italic>-martingales