A short proof of the Doob–Meyer theorem

Every submartingale [Formula: see text] of class [Formula: see text] has a unique Doob–Meyer decomposition [Formula: see text] , where [Formula: see text] is a martingale and [Formula: see text] is a predictable increasing process starting at 0. We provide a short proof of the Doob–Meyer decompositi...

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Detalles Bibliográficos
Autores principales: Beiglböck, Mathias, Schachermayer, Walter, Veliyev, Bezirgen
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2012
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4459556/
https://www.ncbi.nlm.nih.gov/pubmed/30976134
http://dx.doi.org/10.1016/j.spa.2011.12.001
Descripción
Sumario:Every submartingale [Formula: see text] of class [Formula: see text] has a unique Doob–Meyer decomposition [Formula: see text] , where [Formula: see text] is a martingale and [Formula: see text] is a predictable increasing process starting at 0. We provide a short proof of the Doob–Meyer decomposition theorem. Several previously known arguments are included to keep the paper self-contained.

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