Finitely additive functions in measure theory and applications

Abstract

We consider, and make precise, a certain extension of the Radon-Nikodym derivative operator, to functions which are additive, but not necessarily sigma-additive, on a subset of a given sigma-algebra. We give applications to probability theory; in particular, to the study of $\mu$-Brownian motion, to stochastic calculus via generalized It\^o-integrals, and their adjoints (in the form of generalized stochastic derivatives), to systems of transition probability operators indexed by families of measures $\mu$, and to adjoints of composition operators.