Finitely additive supermartingales

DOI10.1007/S10959-008-0164-8zbMath1147.60028arXiv0801.1262OpenAlexW3123240135MaRDI QIDQ939137

Gianluca Cassese

Publication date: 21 August 2008

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.1262

zbMATH Keywords

supermartingalesDoob-Meyer decompositionconditional expectationYosida-Hewitt decompositionfinitely additive measuresBichteler-Dellacherie theoremDoléans-Dade measure

Mathematics Subject Classification ID

Contents, measures, outer measures, capacities (28A12) Generalizations of martingales (60G48) General theory of stochastic processes (60G07)

Related Items (4)

A version of Komlós theorem for additive set functions ⋮ ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE ⋮ Quasi-martingales with a linearly ordered index set ⋮ Supermartingale decomposition with a general index set

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