Decomposition of supermartingales indexed by a linearly ordered set

DOI10.1016/J.SPL.2006.11.018zbMATH Open1232.60029arXiv1203.1192OpenAlexW2024763312MaRDI QIDQ997250FDOQ997250

Gianluca Cassese

Publication date: 23 July 2007

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

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.

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

zbMATH Keywords

potentialssupermartingalesDoob Meyer decompositionnatural increasing processesuniformly integrable martingales

Mathematics Subject Classification ID

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

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Cited In (5)

• Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
• Supermartingale decomposition with a general index set
• Title not available (Why is that?)
• Finitely additive supermartingales
• Quasi-martingales with a linearly ordered index set

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