A refinement of the Riesz decomposition for amarts and semiamarts

A real-valued adapted sequence of random variables is an amart if and only if it can be written as a sum of a martingale and a sequence dominated in absolute value by a Doob potential, i.e., a positive supermartingale that converges to 0 in L1. The same holds for vector-valued uniform amarts with the norm replacing the absolute value.

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Year of publication:	1978
Authors:	Ghoussoub, Nassif ; Sucheston, Louis
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 8.1978, 1, p. 146-150
Publisher:	Elsevier
Keywords:	Amart martingale potential Doob's potential semiamart Riesz decomposition

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006405