Decomposition of supermartingales: The uniqueness theorem

zbMATH Open0133.40401MaRDI QIDQ2395846FDOQ2395846

Authors: Paul-André Meyer 

Publication date: 1963

Published in: Illinois Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

probability theory

Cited In (20)

• On quadratic variation of martingales
• `Analogies,' `interpretations,' `images,' `systems,' and `models': some remarks on the history of abstract representation in the sciences since the nineteenth century
• The dialectics archetypes/types (universal categorical constructions/concrete models) in the work of Alexander Grothendieck
• Stochastic integral representation of some martingales
• Transformation of Markov processes by multiplicative functionals
• Quelques résultats sur les processus de Markov
• Itô's stochastic calculus: its surprising power for applications
• G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty
• Meyer's theorem on predictability
• Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
• On natural and predictable processes
• A short proof of the Doob-Meyer theorem
• A stochastic equation for predicting tensile fractures in ductile polymer solids
• Supermartingale decomposition theorem under \(G\)-expectation
• Pathwise stochastic integration and applications to the theory of continuous trading
• Stochastic Processes in the Decades after 1950
• Martingales in Japan
• Information structure and equilibrium asset prices
• A note on the maximal expected local time of \(\mathrm{L}_2\)-bounded martingales
• Equivalence of Markov Processes

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