A short proof of the Doob-Meyer theorem

被引：15

作者：

Beiglboeck, Mathias ^{[1
]}

Schachermayer, Walter ^{[1
]}

Veliyev, Bezirgen ^{[1
]}

机构：

[1] Univ Vienna, Fac Math, A-1090 Vienna, Austria

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2012年 / 122卷 / 04期

基金：

欧洲研究理事会; 奥地利科学基金会;

关键词：

Doob-Meyer decomposition; Komlos lemma;

D O I：

10.1016/j.spa.2011.12.001

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. We provide a short proof of the Doob-Meyer decomposition theorem. Several previously known arguments are included to keep the paper self-contained. (c) 2011 Elsevier B.V. All rights reserved.

引用

页码：1204 / 1209

页数：6

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