Quasi-martingales with a linearly ordered index set

Gianluca Cassese

Statistics & Probability Letters, 2010, vol. 80, issue 5-6, 421-426

Abstract: We consider quasi-martingales indexed by a linearly order set. We show that such processes are isomorphic to a given class of (finitely additive) measures. From this result we easily derive the classical theorem of Stricker as well as the decompositions of Riesz, Rao and the supermartingale decomposition of Doob and Meyer.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(09)00443-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:80:y:2010:i:5-6:p:421-426

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().