Supermartingales as Radon-Nikodym densities and related measure extensions
Probability
2015-12-23 v2
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.
Keywords
Cite
@article{arxiv.1309.4623,
title = {Supermartingales as Radon-Nikodym densities and related measure extensions},
author = {Nicolas Perkowski and Johannes Ruf},
journal= {arXiv preprint arXiv:1309.4623},
year = {2015}
}
Comments
Published at http://dx.doi.org/10.1214/14-AOP956 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)