A decomposition theorem for supermartingales
From MaRDI portal
Publication:2395845
zbMath0133.40304MaRDI QIDQ2395845
Publication date: 1962
Published in: Illinois Journal of Mathematics (Search for Journal in Brave)
Related Items (35)
On natural and predictable processes ⋮ A construction of markov processes by piecing out ⋮ A construction of branching Markov processes ⋮ Using weighted differences in hazards as effect sizes for survival data ⋮ Quasi-Martingales ⋮ A functional central limit theorem for SI processes on configuration model graphs ⋮ Sample quadratic variation of sample continuous, second order martingales ⋮ Randomised mixture models for pricing kernels ⋮ Supermartingale decomposition theorem under \(G\)-expectation ⋮ The Itô integral for martingales in vector lattices ⋮ Rough path properties for local time of symmetric \(\alpha\) stable process ⋮ Martingale Integrals ⋮ Class 𝐷 supermartingales ⋮ Continuous stochastic processes in Riesz spaces: The Doob-Meyer decomposition ⋮ Functional modeling of recurrent events on time‐to‐event processes ⋮ Stochastic Processes in the Decades after 1950 ⋮ Martingales in Japan ⋮ On the optional and orthogonal decompositions of supermartingales and applications ⋮ A short proof of the Doob-Meyer theorem ⋮ Competing risk problems with no independence assumed: Does it make a difference? ⋮ Modeling the Effect of Recurrent Events on Time-to-event Processes by Means of Functional Data ⋮ The large graph limit of a stochastic epidemic model on a dynamic multilayer network ⋮ On quadratic variation of martingales ⋮ Itô's stochastic calculus: its surprising power for applications ⋮ Supermartingale decomposition with a general index set ⋮ Decomposition of supermartingales indexed by a linearly ordered set ⋮ Stochastic integral representation of some martingales ⋮ Transformation of Markov processes by multiplicative functionals ⋮ On the resolvent of a Brownian motion with drift ⋮ Systems of BSDES with oblique reflection and related optimal switching problems ⋮ A note on the maximal expected local time of \(\mathrm{L}_2\)-bounded martingales ⋮ G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty ⋮ B. V. Gnedenko: classic of limit theorems in the theory of probability ⋮ The dialectics archetypes/types (universal categorical constructions/concrete models) in the work of Alexander Grothendieck ⋮ `Analogies,' `interpretations,' `images,' `systems,' and `models': some remarks on the history of abstract representation in the sciences since the nineteenth century
This page was built for publication: A decomposition theorem for supermartingales