Supermartingale decomposition with a general index set
-
Cassese, Gianluca
Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
Published in:
- Stochastic processes and their applications. - Elsevier. - 2010, vol. 120, no. 7, p. 1060-1073
English
We prove results on the existence of Doléans-Dade measures and of the Doob-Meyer decomposition for supermartingales indexed by a general index set.
-
Language
-
-
Classification
-
Economics
-
License
-
License undefined
-
Identifiers
-
-
Persistent URL
-
https://n2t.net/ark:/12658/srd1318223
Statistics
Document views: 57
File downloads:
- cassese_SPTA_2010.pdf: 78