• Rajeeva L Karandikar

Articles written in Proceedings – Mathematical Sciences

• Measure free martingales

We give a necessary and sufficient condition on a sequence of functions on a set Ω under which there is a measure on Ω which renders the given sequence of functions a martingale. Further such a measure is unique if we impose a natural maximum entropy condition on the conditional probabilities.

• On characterisation of Markov processes via martingale problems

It is well-known that well-posedness of a martingale problem in the class of continuous (or r.c.l.l.) solutions enables one to construct the associated transition probability functions. We extend this result to the case when the martingale problem is well-posed in the class of solutions which are continuous in probability. This extension is used to improve on a criterion for a probability measure to be invariant for the semigroup associated with the Markov process. We also give examples of martingale problems that are well-posed in the class of solutions which are continuous in probability but for which no r.c.l.l. solution exists.

• # Proceedings – Mathematical Sciences

Volume 130, 2020
All articles
Continuous Article Publishing mode

• # Editorial Note on Continuous Article Publication

Posted on July 25, 2019