We prove results on the existence of Dolans-Dade measures and of the DoobMeyer decomposition for supermartingales indexed by a general index set.
Cassese, G. (2010). Supermartingale decomposition with a general index set. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 120(7), 1060-1073 [10.1016/j.spa.2010.03.014].
Supermartingale decomposition with a general index set
CASSESE, GIANLUCA
2010
Abstract
We prove results on the existence of Dolans-Dade measures and of the DoobMeyer decomposition for supermartingales indexed by a general index set.
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