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Supermartingales as Radon-Nikodym densities and related measure extensions

Published 18 Sep 2013 in math.PR | (1309.4623v2)

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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