Supermartingales as Radon-Nikodym densities and related measure extensions

Perkowski, N. & Ruf, J.ORCID logo (2015). Supermartingales as Radon-Nikodym densities and related measure extensions. Annals of Probability, 43(6), 3133-3176. https://doi.org/10.1214/14-AOP956
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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.
Item Type Article
Copyright holders © 2015 Institute of Mathematical Statistics
Departments LSE > Academic Departments > Mathematics
DOI 10.1214/14-AOP956
Date Deposited 11 Oct 2017
URI https://researchonline.lse.ac.uk/id/eprint/84579

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