Finitely additive supermartingales
Informazioni aggiuntive
Autori
Tipo
Articolo pubblicato in rivista scientifica
Anno
2008
Lingua
Inglese
Sommario
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.
Parole chiave
Bichteler, Dellacherie theorem, conditional expectation, Doléans-Dade
measure, Doob–Meyer decomposition, finitely additive measures, supermartingales, Yosida–Hewitt decomposition
Periodico
Journal of theoretical probability
Volume
21
Numero ( Mese )
3
Pagine (o numero dell’articolo)
586-603
Diffusione
Licenza
Licenza non definita
Visibilità
Pubblico
Status open access
Green
