Supermartingales as Radon-Nikodym densities and related measure extensions
arXiv:1309.4623 · doi:10.1214/14-AOP956
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.
Published at http://dx.doi.org/10.1214/14-AOP956 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)