• Journal of the Korean Mathematical Society
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• v.35 no.3
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• pp.765-782
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• 1998

The purpose of this paper is to give convergence theorems both for closed convex set valued and relative fuzzy valued martingales, and sub- and super- martingales. These kinds of martingales, sub- and super-martingales are the extension of classical real valued martingales, sub- and super-martingales. Here we compare two kinds of convergences, in the Hausdorff metric and in the Kuratowski-Mosco sense. We also introduce a new convergence for the fuzzy valued case in the graph sense and obtain convergence theorems.

• Journal of the Korean Statistical Society
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• v.24 no.1
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• pp.225-231
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• 1995

An eventual uniform equicontinuity condition is investigated in the context of the uniform central limit theorem (UCLT) for continuous martingales. We assume the usual intergrability condition on metric entropy. We establish an exponential inequality for a martingales. Then we use the chaining lemma of Pollard (1984) to prove an eventual uniform equicontinuity which is a sufficient condition of UCLT. We apply the result to approximate a stochastic integral with respect to a martingale to that of a Brownian motion.

• Journal of the Korean Statistical Society
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• v.28 no.1
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• pp.21-34
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• 1999

In this paper, conditional expectation of a fuzzy random variable is introduced and its properties are investigated. Using this, we introduce the concept of fuzzy martingales and prove some convergence theorems which generalize te corresponding results for the classical martingales.

• Journal of applied mathematics & informatics
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• v.6 no.1
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• pp.273-277
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• 1999

In this paper we will consider interval-valued martin-gales. We obtain several results parallel to the case of real-valued martingales. For example an $L_1$-bounded interval-valued martingale converges a.e. An interval-valued martingale ${{F_n}^\infty}_{n=1}$ is uniformly in-tegrable if and only if there is an interval-valued random variable F with $\parallel F \parallel _1<\infty$ such that $F_n=E(F\mid A_n)$, for all $n\geq 1$

• Journal of the Korean Mathematical Society
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• v.49 no.2
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• pp.395-404
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• 2012

Our first aim of this paper is to define maximal operators a-quadratic variation and of a-conditional quadratic variation for vectorvalued tree martingales and to show that these maximal operators and maximal operators of vector-valued tree martingale transforms are all sublinear operators. The second purpose is to prove that maximal operator inequalities of a-quadratic variation and of a-conditional quadratic variation for vector-valued tree martingales hold provided 2 ${\leq}$ a < $\infty$ by means of Marcinkiewicz interpolation theorem. Based on a result of reference [10] and using Marcinkiewicz interpolation theorem, we also propose a simple proof of maximal operator inequalities for vector-valued tree martingale transforms, under which the vector-valued space is a UMD space.

• Communications of the Korean Mathematical Society
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• v.10 no.2
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• pp.401-407
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• 1995

The best constants for two distinct weak-type inequalities for martingales and their differential subordinates with values in some spaces isomorphic to a Hilbert space are shown to be the same. This extends the result of Burkholder shown in the Hilbert space setting.

• The Mathematical Education
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• v.28 no.2
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• pp.139-143
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• 1989

• Communications of the Korean Mathematical Society
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• v.4 no.1
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• pp.147-154
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• 1989

• East Asian mathematical journal
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• v.6 no.2
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• pp.199-206
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• 1990

• Communications for Statistical Applications and Methods
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• v.23 no.5
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• pp.423-432
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• 2016

In this paper, we stochastically analyze the continuous time surplus process in a risk model which involves a continuous type investment. It is assumed that the investment of the surplus to other business is continuously made at a constant rate, while the surplus process stays over a given sufficient level. We obtain the stationary distribution of the surplus level and/or its moment generating function by forming martingales from the surplus process and applying the optional sampling theorem to the martingales and/or by establishing and solving an integro-differential equation for the distribution function of the surplus level.