Abstract
Let (Ω, ℱ, P) be a probability space, and let \({F_1} \subseteq {F_2} \subseteq \cdots \subseteq {F_N} \subseteq F\) be a nondecreasing family of sub-σ-algebras ℱ.
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Notes and references
Doob J. L., Probability Processes. Russian transi., IL. Moscow, 1956.
Meyer P. A., Probabilitiés et Potentiel. Herman, Paris, 1966.
Neveu J., Martingales, Notes Partielles d’un Course de 3-ème Cycle. Paris, 19701971.
Gikhman I. I., Skorokhod A. V., The Theory of Random Processes. Tom I. “Nauka,” Moscow, 1971.
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© 1977 Springer Science+Business Media New York
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Liptser, R.S., Shiryayev, A.N. (1977). Martingales and semimartingales: discrete time. In: Statistics of Random Processes I. Applications of Mathematics, vol 5. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-1665-8_3
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DOI: https://doi.org/10.1007/978-1-4757-1665-8_3
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