Quasimartingales with a linearly ordered index set
- Cassese, Gianluca Istituto di finanza (IFin), Facoltà di scienze economiche, Università
- della Svizzera italiana, Svizzera
-
19.11.2009
Published in:
- Statistics & probability letters. - Elsevier. - 2010, vol. 80, no. 5-6, p. 421-426
Doob Meyer decomposition
natural increasing process
potential
quasi-potential
Rao decomposition, Riesz decomposition
English
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.
- Language
-
- English
- Classification
- Economics
- License
- License undefined
- Identifiers
-
- RERO DOC 21618
- DOI 10.1016/j.spl.2009.11.019
- ARK ark:/12658/srd1318213
- Persistent URL
- https://n2t.net/ark:/12658/srd1318213
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