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
Identification Number: 10.1214/14-AOP956
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: | 05 Apr 2024 17:09 |
| URI: | http://eprints.lse.ac.uk/id/eprint/84579 |
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