Facoltà di scienze economiche

Supermartingale decomposition with a general index set

Cassese, Gianluca

In: Stochastic processes and their applications, 2010, vol. 120, no. 7, p. 1060-1073

We prove results on the existence of Doléans-Dade measures and of the Doob-Meyer decomposition for supermartingales indexed by a general index set. Plus

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    Summary
    We prove results on the existence of Doléans-Dade measures and of the Doob-Meyer decomposition for supermartingales indexed by a general index set.