Supermartingales as Radon-Nikodym densities and related measure extensions
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Publication:5962535
DOI10.1214/14-AOP956zbMath1356.60070arXiv1309.4623MaRDI QIDQ5962535
Johannes Ruf, Nicolas Perkowski
Publication date: 12 February 2016
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.4623
supermartingalesfinitely additive measureCarathéodory extension theoremFatou convergenceFöllmer measureRadon-Nikodym densities
Brownian motion (60J65) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Probabilistic measure theory (60A10) Stochastic analysis (60H99)
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