Finitely Additive Supermartingales

Gianluca Cassese

Journal of Theoretical Probability, 2008, vol. 21, issue 3, 586-603

Abstract: Abstract 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.

Keywords: Bichteler–Dellacherie theorem; Conditional expectation; Doléans-Dade measure; Doob–Meyer decomposition; Finitely additive measures; Supermartingales; Yosida–Hewitt decomposition; 28A12; 60G07; 60G20 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s10959-008-0164-8

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