Finitely additive supermartingales are differences of martingales and adapted increasing processes
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- by Thomas E. Armstrong PDF
- Proc. Amer. Math. Soc. 95 (1985), 619-625 Request permission
Abstract:
It is shown that any nonnegative bounded supermartingale admits a Doob-Meyer decomposition as a difference of a martingale and an adapted increasing process upon appropriate choice of a reference probability measure which may be only finitely additive.References
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Additional Information
- © Copyright 1985 American Mathematical Society
- Journal: Proc. Amer. Math. Soc. 95 (1985), 619-625
- MSC: Primary 60G44; Secondary 60G07
- DOI: https://doi.org/10.1090/S0002-9939-1985-0810174-8
- MathSciNet review: 810174