Decomposition of supermartingales indexed by a linearly ordered set

DOI10.1016/j.spl.2006.11.018zbMath1232.60029arXiv1203.1192OpenAlexW2024763312MaRDI QIDQ997250

Gianluca Cassese

Publication date: 23 July 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.1192

zbMATH Keywords

supermartingalespotentialsDoob Meyer decompositionnatural increasing processesuniformly integrable martingales

Mathematics Subject Classification ID

Contents, measures, outer measures, capacities (28A12) General theory of stochastic processes (60G07) Generalized stochastic processes (60G20)

Related Items (3)

Finitely additive supermartingales ⋮ Quasi-martingales with a linearly ordered index set ⋮ Supermartingale decomposition with a general index set

Cites Work

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• Doob-Meyer decomposition of Hilbert space valued functions
• A decomposition theorem for supermartingales
• Mean Convergence of Martingales
• A note on the Doob-Meyer-decomposition of L^p-valued submartingales
• Class 𝐷 supermartingales
• On Decomposition Theorems of Meyer.
• [https://portal.mardi4nfdi.de/wiki/Publication:5646185 Th�orie des processus stochastiques g�n�raux applications aux surmartingales]

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