Quasimartingales with a linearly ordered index set
Additional information
Authors
Cassese G.,
della Svizzera italiana S.
Type
Journal Article
Language
English
Abstract
We consider quasi-martingales indexed by a linearly order set. We show that such processes are isomorphic to a given class of (finitely additive) measures. From this result we easily derive the classical theorem of Stricker as well as the decompositions of Riesz, Rao and the supermartingale decomposition of Doob and Meyer.
Keywords
Doob Meyer decomposition, natural increasing process, potential, quasi-potential, Rao decomposition, Riesz decomposition
Journal
Statistics & probability letters
Volume
80
Number ( Month )
5-6
Pages (or article number)
421-426
Diffusion
License
License undefined
Visibility
Public
Status open access
Green
