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Finitely Additive Supermartingales

Cassese, Gianluca

In: Journal of Theoretical Probability, 2008, vol. 21, no. 3, p. 586-603

On the structure of finitely additive martingales

Cassese, Gianluca

Finitely additive martingales are the counterpart of finitely additive measures over filtered probability space. We study the structure of the Yosida Hewitt decomposition in such setting and obtaing a full characterisation. Based on this result we introduce a “conditional expectation” operator for finitely additive measures which has some properties in common with ordinary conditional...