Finitely additive supermartingales
- Cassese, Gianluca Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
-
2008
Published in:
- Journal of theoretical probability. - Springer. - 2008, vol. 21, no. 3, p. 586-603
Bichteler
Dellacherie theorem
conditional expectation
Doléans-Dade measure
Doob–Meyer decomposition
finitely additive measures
supermartingales
Yosida–Hewitt decomposition
English
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.
- Language
-
- English
- Classification
- Economics
- License
- License undefined
- Identifiers
-
- RERO DOC 12771
- DOI 10.1007/s10959-008-0164-8
- ARK ark:/12658/srd1318183
- Persistent URL
- https://n2t.net/ark:/12658/srd1318183
Statistics
Document views: 40
File downloads:
- cassese_JTP_2008.pdf: 92