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.
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页码：1204 / 1209
页数：6
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