Supermartingale decomposition with a general index set
- Cassese, Gianluca Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
-
24.03.2010
Published in:
- Stochastic processes and their applications. - Elsevier. - 2010, vol. 120, no. 7, p. 1060-1073
Doléans-Dade measure
Doob–Meyer decomposition
finitely additive probability
finitely additive supermartingales
supermartingales
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
-
- English
- Classification
- Economics
- License
- License undefined
- Identifiers
-
- RERO DOC 21619
- DOI 10.1016/j.spa.2010.03.014
- ARK ark:/12658/srd1318223
- Persistent URL
- https://n2t.net/ark:/12658/srd1318223
Statistics
Document views: 57
File downloads:
- cassese_SPTA_2010.pdf: 77