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Supermartingale decomposition with a general index set |
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| Authors: | Gianluca Cassese |
| Institution: | Università Milano Bicocca, Department of Statistics, Building U7, Room 2097, via Bicocca degli Arcimboldi 8, 20126 Milano, Italy; University of Lugano, Switzerland |
| 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. |
| Keywords: | primary 60G20 secondary 28A12 60G07 |
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