Supermartingale decomposition with a general index set
نویسندگان
چکیده
منابع مشابه
Supermartingale Decomposition with a General Index Set
By Doob’s theorem, supermartingales indexed by the natural numbers decompose into the difference of a uniformly integrable martingale and an increasing process. The relative ease of working with increasing processes rather than supermartingales explains the prominent role of this result in stochastic analysis and in the theory of stochastic integration. Meyer [19] then proved that, under the us...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2010
ISSN: 0304-4149
DOI: 10.1016/j.spa.2010.03.014