Decomposition of supermartingales indexed by a linearly ordered set

We prove a version of the Doob Meyer decomposition for supermartingales with a linearly ordered index set.

Year of publication:	2007
Authors:	Cassese, Gianluca
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 8, p. 795-802
Publisher:	Elsevier
Keywords:	Doob Meyer decomposition Natural increasing processes Potentials Supermartingales Uniformly integrable martingales

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

Persistent link: https://www.econbiz.de/10005137703