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...

Descripción completa

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
_version_ 1782375239427031040
author Beiglböck, Mathias
Schachermayer, Walter
Veliyev, Bezirgen
author_facet Beiglböck, Mathias
Schachermayer, Walter
Veliyev, Bezirgen
author_sort Beiglböck, Mathias
collection PubMed
description 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.
format Online
Article
Text
id pubmed-4459556
institution National Center for Biotechnology Information
language English
publishDate 2012
publisher Elsevier
record_format MEDLINE/PubMed
spelling pubmed-44595562019-04-09 A short proof of the Doob–Meyer theorem Beiglböck, Mathias Schachermayer, Walter Veliyev, Bezirgen Stoch Process Their Appl Article 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. Elsevier 2012-04 /pmc/articles/PMC4459556/ /pubmed/30976134 http://dx.doi.org/10.1016/j.spa.2011.12.001 Text en © 2012 Elsevier B.V. http://creativecommons.org/licenses/by-nc-nd/3.0/ This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/3.0/).
spellingShingle Article
Beiglböck, Mathias
Schachermayer, Walter
Veliyev, Bezirgen
A short proof of the Doob–Meyer theorem
title A short proof of the Doob–Meyer theorem
title_full A short proof of the Doob–Meyer theorem
title_fullStr A short proof of the Doob–Meyer theorem
title_full_unstemmed A short proof of the Doob–Meyer theorem
title_short A short proof of the Doob–Meyer theorem
title_sort short proof of the doob–meyer theorem
topic Article
url 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
work_keys_str_mv AT beiglbockmathias ashortproofofthedoobmeyertheorem
AT schachermayerwalter ashortproofofthedoobmeyertheorem
AT veliyevbezirgen ashortproofofthedoobmeyertheorem
AT beiglbockmathias shortproofofthedoobmeyertheorem
AT schachermayerwalter shortproofofthedoobmeyertheorem
AT veliyevbezirgen shortproofofthedoobmeyertheorem

Ejemplares similares