Finitely Additive Supermartingales

Gianluca Cassese
2006 Social Science Research Network  
The concept of finitely additive supermartingales, originally due to Bochner, is revived and developed. We exploit it to study measure decompositions over filtered probability spaces and the properties of the associated Doléans-Dade measure. We obtain versions of the Doob Meyer decomposition and, as an application, we establish a version of the Bichteler and Dellacherie theorem with no exogenous probability measure.
doi:10.2139/ssrn.756630 fatcat:mikon3v5nvafjfznuk2kyy6bdm