Class D Supermartingales

Abstract

The decomposition of a continuous parameter supermartingale into the difference of a martingale and a process with increasing sample functions has been studied by Meyer [ l ] . Meyer has shown that a non-negative uniformly integrable right-continuous (i.e., right-continuous sample functions) supermartingale {;y«: O â £ â + °° } with lim ̂ oo yt = 0 can be… (More)

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