The Annals of Probability
- Ann. Probab.
- Volume 43, Number 6 (2015), 3133-3176.
Supermartingales as Radon–Nikodym densities and related measure extensions
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.
Ann. Probab., Volume 43, Number 6 (2015), 3133-3176.
Received: September 2013
Revised: July 2014
First available in Project Euclid: 11 December 2015
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Perkowski, Nicolas; Ruf, Johannes. Supermartingales as Radon–Nikodym densities and related measure extensions. Ann. Probab. 43 (2015), no. 6, 3133--3176. doi:10.1214/14-AOP956. https://projecteuclid.org/euclid.aop/1449843627