Facoltà di scienze economiche

Finitely additive supermartingales

Cassese, Gianluca

In: Journal of theoretical probability, 2008, vol. 21, no. 3, p. 586-603

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... Plus

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    Summary
    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.