Decomposition of supermartingales indexed by a linearly ordered set

Gianluca Cassese

Statistics & Probability Letters, 2007, vol. 77, issue 8, 795-802

Abstract: We prove a version of the Doob Meyer decomposition for supermartingales with a linearly ordered index set.

Keywords: Doob; Meyer; decomposition; Natural; increasing; processes; Potentials; Supermartingales; Uniformly; integrable; martingales (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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