Supermartingales as Radon-Nikodym densities and related measure extensions
classification
🧮 math.PR
keywords
measuresadditiveassociatedassumptionscertaincountablydensitiesexistence
read the original abstract
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.
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