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Proceedings of the American Mathematical Society

ISSN 1088-6826(online) ISSN 0002-9939(print)



Positive martingales and their induced measures

Authors: Bennett Eisenberg and Shi Xin Gan
Journal: Proc. Amer. Math. Soc. 89 (1983), 680-684
MSC: Primary 60G30
MathSciNet review: 718996
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Abstract: Conditions for the absolute continuity of probability measures are given in terms of limits of sequences of Radon-Nikodym derivatives. In the other direction, conditions for the optional stopping theorem for positive martingales are given in terms of properties of their induced measures.

References [Enhancements On Off] (What's this?)

  • [1972] Robert B. Ash, Real analysis and probability, Academic Press, New York. MR 0435320 (55:8280)
  • [1977] J. M. Kabanov, R. S. Lipcer and A. N. Shiryaev, On the question of absolute continuity and singularity of probability measures, Math. USSR Sb. 33, 203-221.
  • [1975] J. Neveu, Discrete parameter martingales, North-Holland, Amsterdam. MR 0402915 (53:6729)

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