A general Doob-Meyer-Mertens decomposition for $g$-supermartingale systems

Bruno Bouchard, Dylan Possama\"i and Xiaolu Tan

Papers from arXiv.org

Abstract: We provide a general Doob-Meyer decomposition for $g$-supermartingale systems, which does not require any right-continuity on the system. In particular, it generalizes the Doob-Meyer decomposition of Mertens (1972) for classical supermartingales, as well as Peng's (1999) version for right-continuous $g$-supermartingales. As examples of application, we prove an optional decomposition theorem for $g$-supermartingale systems, and also obtain a general version of the well-known dual formation for BSDEs with constraint on the gains-process, using very simple arguments.

Date: 2015-05, Revised 2015-07
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