Optional supermartingales and the andersen-jessen theorem

DOI10.1007/BF00536207zbMath0393.60042OpenAlexW1999826033MaRDI QIDQ4176220

Joseph Horowitz

Publication date: 1978

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00536207

zbMATH Keywords

Lebesgue DecompositionAndersen-Jessen TheoremOptional SupermartingalesSample Path Properties

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items

Measure rigidity for random dynamics on surfaces and related skew products, Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition, On comparison theorem for optional SDEs via local times and applications, On linear stochastic equations of optional semimartingales and their applications, Measure-valued random processes, A comparison theorem for stochastic equations of optional semimartingales, Financial Markets in the Context of the General Theory of Optional Processes, A remark on infinitesimal absolute continuity of martingale measurest^†

Cites Work

• Relative densities of semimartingales
• Generalized sweeping-out and probability
• [https://portal.mardi4nfdi.de/wiki/Publication:5646185 Th�orie des processus stochastiques g�n�raux applications aux surmartingales]
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