Supermartingales 作为 Radon-Nikodym 密度及其相关测度扩展
概率论
2015-12-23 v2
摘要
可以关联到给定非负 supermartingale 的某些可数且有限可加测度。在概率空间的弱假设下，证明了此类测度的存在性及（非）唯一性结果。
引用
@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}
}
备注
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)