A short proof of the Doob–Meyer theorem

Mathias Beiglböck, Walter Schachermayer and Bezirgen Veliyev

Stochastic Processes and their Applications, 2012, vol. 122, issue 4, 1204-1209

Abstract: Every submartingale S of class D has a unique Doob–Meyer decomposition S=M+A, where M is a martingale and A is a predictable increasing process starting at 0.

Keywords: Doob–Meyer decomposition; Komlos lemma (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spa.2011.12.001

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