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.
|
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...
|
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.
|
