Finitely additive supermartingales
Additional information
Authors
Type
Journal Article
Year
2008
Language
English
Abstract
The concept of finitely additive supermartingales, originally due to Bochner, is revived and developed. We exploit it to study measure decompositions over filtered probability spaces and the properties of the associated Doléans-Dade measure. We obtain versions of the Doob–Meyer decomposition and, as an application, we establish a version of the Bichteler and Dellacherie theorem with no exogenous probability measure.
Keywords
Bichteler, Dellacherie theorem, conditional expectation, Doléans-Dade
measure, Doob–Meyer decomposition, finitely additive measures, supermartingales, Yosida–Hewitt decomposition
Journal
Journal of theoretical probability
Volume
21
Number ( Month )
3
Pages (or article number)
586-603
Diffusion
License
License undefined
Visibility
Public
Status open access
Green
