Supermartingale decomposition with a general index set
We prove results on the existence of Doléans-Dade measures and of the Doob-Meyer decomposition for supermartingales indexed by a general index set.
Year of publication: |
2010
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---|---|
Authors: | Cassese, Gianluca |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 7, p. 1060-1073
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Publisher: |
Elsevier |
Keywords: | Doleans-Dade measure Doob-Meyer decomposition Finitely additive probability Finitely additive supermartingales Supermartingales |
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