Decomposition of supermartingales indexed by a linearly ordered set

DOI10.1016/J.SPL.2006.11.018MaRDI QIDQ997250zbMATH OpenOpenAlexFDO

Authors Gianluca Cassese

Publication date 23 July 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.1192

zbMATH Keywords

Doob Meyer decompositionnatural increasing processespotentialssupermartingalesuniformly integrable martingales

Mathematics Subject Classification ID

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

Abstract: Based on a generalization of Lebesgue decomposition we obtain a characterization of weak compactness in the space $ba$, a representation of its dual space and some results on the structure of finitely additive measures.

Cites work

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Cited in

(5)

• Quasi-martingales with a linearly ordered index set
• Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
• scientific article; zbMATH DE number 4105973 (Why is no real title available?)
• Finitely additive supermartingales
• Supermartingale decomposition with a general index set

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