Supermartingales as Radon-Nikodym densities and related measure extensions

Perkowski, Nicolas and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2015) Supermartingales as Radon-Nikodym densities and related measure extensions. Annals of Probability, 43 (6). pp. 3133-3176. ISSN 0091-1798

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Abstract

Certain countably and finitely additive measures can be associated to a given nonnegative supermartingale. Under weak assumptions on the underlying probability space, existence and (non)uniqueness results for such measures are proven.

Item Type:	Article
Official URL:	http://imstat.org/aop/
Additional Information:	© 2015 Institute of Mathematical Statistics
Divisions:	Mathematics
Subjects:	Q Science > QA Mathematics
Date Deposited:	11 Oct 2017 09:54
Last Modified:	12 Dec 2024 01:01
URI:	http://eprints.lse.ac.uk/id/eprint/84579

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