Supermartingales as Radon.Nikodym densities and related measure extensions

Authors
Perkowski, Nicolas Ruf, Johannes
Citation
Perkowski, Nicolas et Ruf, Johannes, Supermartingales as Radon.Nikodym densities and related measure extensions, Annals of probability , 43(6), 2015, pp. 3133-3176
Journal title
Annals of probability → ACNP
ISSN journal
00911798
Volume
43
Issue
6
Year of publication
2015
Pages
3133 - 3176
Database
ACNP
SICI code
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.