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Finitely Additive Supermartingales

SSRN Electronic Journal
2006
  • 2
    Citations
  • 1,497
    Usage
  • 0
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    2
    • Citation Indexes
      2
  • Usage
    1,497
    • Abstract Views
      1,393
    • Downloads
      104
  • Ratings
    • Download Rank
      524,022

Article Description

Finitely additive supermartingale, a concept originally due to Bochner, is revived to study measure decompositions over filtered probability spaces. We obtain versions of the Doob Meyer decomposition for finitely additive and classical supermartingales in a rather general context. Also we obtain a characterization of finitely additive expectation based on a generalization of conditional expectation to finitely additive measures.

Bibliographic Details

Gianluca Cassese

Elsevier BV

Conditional expectation; Doleans-Dade measure; Doob Meyer decomposition; finitely additive measures; finitely additive supermartingales; potential; supermartingales; Yosida Hewitt decomposition

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