Supermartingales as Radon–Nikodym densities and related measure extensions

• Perkowski, Nicolas ^[1] ; Ruf, Johannes ^[2]
  1. [1] Paris Dauphine University

     Paris Dauphine University

     París, Francia

     
  2. [2] University College London

     University College London

     Reino Unido

     
• Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 43, Nº. 6, 2015, págs. 3133-3176
• Idioma: inglés
• DOI: 10.1214/14-AOP956
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• Resumen

  • 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.