Supermartingale decomposition with a general index set

We prove results on the existence of Doléans-Dade measures and of the Doob-Meyer decomposition for supermartingales indexed by a general index set.

Year of publication:	2010
Authors:	Cassese, Gianluca
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 7, p. 1060-1073
Publisher:	Elsevier
Keywords:	Doleans-Dade measure Doob-Meyer decomposition Finitely additive probability Finitely additive supermartingales Supermartingales

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

Persistent link: https://www.econbiz.de/10008872984