Quasimartingales with a Linearly Ordered Index Set
نویسنده
چکیده
We consider quasi-martingales indexed by a linearly order set. We show that such processes are isomorphic to a given class of (finitely additive) measures. From this result we easily derive the classical theorem of Stricker as well as the decompositions of Riesz, Rao and the supermartingale decomposition of Doob and Meyer.
منابع مشابه
Decomposition of Supermartingales Indexed by a Linearly Ordered Set
We prove a version of the Doob Meyer decomposition for supermartingales with a linearly ordered index set. Key words Doob Meyer decomposition, natural increasing processes, potentials, supermartingales. Mathematics Subject Classi cation (2000): : 28A12, 60G07, 60G20.
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