Generalization of Doob decomposition Theorem

Nicholas Gonchar

Papers from arXiv.org

Abstract: In the paper, we introduce the notion of a local regular supermartingale relative to a convex set of equivalent measures and prove for it an optional Doob decomposition in the discrete case. This Theorem is a generalization of the famous Doob decomposition onto the case of supermartingales relative to a convex set of equivalent measures.

Date: 2016-01
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