On the convergence of a bounded amart and a conjecture of Chatterji

Klaus D. Schmidt

Journal of Multivariate Analysis, 1981, vol. 11, issue 1, 58-68

Abstract: Through the decomposition theorem of Lebesgue and Darst it is possible to define a generalized Radon-Nikodym derivative of a bounded additive set function with respect to a bounded countably additive set function. For a bounded amart the derivatives of the components are shown to converge almost everywhere. This result, together with a characterization of amarts, yields a theorem stated by Chatterji whose proof is incorrect.

Keywords: Martingale; amart; potential; set; function; process; stopping; times; Riesz; decomposition (search for similar items in EconPapers)
Date: 1981
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