Statement of The Theorems
In the following, (Ω, F, F∗, P), F∗ = (Ft)t≥0, will be a filtered probability space and N : [0, +∞) × Ω → R will be a right-continuous supermartingale with respect to the filtration F∗; in other words, for all 0 ≤ s ≤ t < +∞,
Read more about this topic: Doob's Martingale Convergence Theorems
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