IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v120y2010i7p1060-1073.html
   My bibliography  Save this article

Supermartingale decomposition with a general index set

Author

Listed:
  • Cassese, Gianluca

Abstract

We prove results on the existence of Doléans-Dade measures and of the Doob-Meyer decomposition for supermartingales indexed by a general index set.

Suggested Citation

  • Cassese, Gianluca, 2010. "Supermartingale decomposition with a general index set," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1060-1073, July.
    • Handle: RePEc:eee:spapps:v:120:y:2010:i:7:p:1060-1073
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(10)00092-X
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Yosef, Arthur, 2009. "Set indexed strong martingales and path independent variation," Statistics & Probability Letters, Elsevier, vol. 79(8), pages 1083-1088, April.
    2. Cassese, Gianluca, 2007. "Decomposition of supermartingales indexed by a linearly ordered set," Statistics & Probability Letters, Elsevier, vol. 77(8), pages 795-802, April.
    3. Ivanoff, B. Gail & Sawyer, P., 2003. "Local time for processes indexed by a partially ordered set," Statistics & Probability Letters, Elsevier, vol. 61(1), pages 1-15, January.
    4. Ivanoff, B. Gail & Merzbach, Ely, 1995. "Stopping and set-indexed local martingales," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 83-98, May.
    5. De Giosa, Marcello & Mininni, Rosamaria, 1995. "On the Doléans function of set-indexed submartingales," Statistics & Probability Letters, Elsevier, vol. 24(1), pages 71-75, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gianluca Cassese, 2008. "Finitely Additive Supermartingales," Journal of Theoretical Probability, Springer, vol. 21(3), pages 586-603, September.
    2. Dean Slonowsky, 2001. "Strong Martingales: Their Decompositions and Quadratic Variation," Journal of Theoretical Probability, Springer, vol. 14(3), pages 609-638, July.
    3. Diane Saada & Dean Slonowsky, 2006. "A Notion of Stopping Line for Set-Indexed Processes," Journal of Theoretical Probability, Springer, vol. 19(2), pages 397-410, June.
    4. Balan, R. M., 2001. "A strong Markov property for set-indexed processes," Statistics & Probability Letters, Elsevier, vol. 53(2), pages 219-226, June.
    5. Cassese, Gianluca, 2010. "Quasi-martingales with a linearly ordered index set," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 421-426, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:120:y:2010:i:7:p:1060-1073. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.