Facoltà di scienze economiche

Decomposition of supermartingales indexed by a linearly

Cassese, Gianluca

In: Statistics & probability letters, 2007, vol. 77, no. 8, p. 795-802

We prove a version of the Doob Meyer decomposition for supermartingales with a linearly ordered index set. Plus

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    Summary
    We prove a version of the Doob Meyer decomposition for supermartingales with a linearly ordered index set.