Supermartingale decomposition with a general index set

Gianluca Cassese

Stochastic Processes and their Applications, 2010, vol. 120, issue 7, 1060-1073

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

Keywords: Doleans-Dade; measure; Doob-Meyer; decomposition; Finitely; additive; probability; Finitely; additive; supermartingales; Supermartingales (search for similar items in EconPapers)
Date: 2010
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