Supermartingale decomposition with a general index set

DOI10.1016/J.SPA.2010.03.014MaRDI QIDQ981011zbMATH OpenOpenAlexFDO

Authors Gianluca Cassese

Publication date 8 July 2010

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0812.1664, http://doc.rero.ch/record/21619/files/cassese_SPTA_2010.pdf

zbMATH Keywords

Doléans-Dade measureDoob-Meyer decompositionfinitely additive probabilityfinitely additive supermartingalessupermartingales

Mathematics Subject Classification ID

Contents, measures, outer measures, capacities (28A12) General theory of stochastic processes (60G07) Generalized stochastic processes (60G20)

Abstract: We prove results on the existence of Dol'{e}ans-Dade measures and of the Doob-Meyer decomposition for supermartingales indexed by a general index set

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Cited in

(4)

• Sure wins, separating probabilities and the representation of linear functionals
• Supermartingale decomposition theorem under \(G\)-expectation
• Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
• Optional decomposition of optional supermartingales and applications to filtering and finance

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