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Decomposition of supermartingales indexed by a linearly ordered set

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  • Cassese, Gianluca

Abstract

We prove a version of the Doob Meyer decomposition for supermartingales with a linearly ordered index set.

Suggested Citation

  • Cassese, Gianluca, 2007. "Decomposition of supermartingales indexed by a linearly ordered set," Statistics & Probability Letters, Elsevier, vol. 77(8), pages 795-802, April.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:8:p:795-802
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    Cited by:

    1. Gianluca Cassese, 2008. "Finitely Additive Supermartingales," Journal of Theoretical Probability, Springer, vol. 21(3), pages 586-603, September.
    2. Cassese, Gianluca, 2010. "Supermartingale decomposition with a general index set," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1060-1073, July.
    3. Cassese, Gianluca, 2010. "Quasi-martingales with a linearly ordered index set," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 421-426, March.

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