A short proof of the Doob-Meyer theorem

DOI10.1016/J.SPA.2011.12.001zbMath1278.60068arXiv1012.5292OpenAlexW2052247664WikidataQ93042444 ScholiaQ93042444MaRDI QIDQ424466

Walter Schachermayer, Mathias Beiglböck, Bezirgen Veliyev

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.5292

zbMATH Keywords

Doob-Meyer decompositionKomlós lemma

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Foundations of stochastic processes (60G05)

Related Items (11)

On natural and predictable processes ⋮ Riemann-integration and a new proof of the Bichteler-Dellacherie theorem ⋮ Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact ⋮ Measurability of semimartingale characteristics with respect to the probability law ⋮ A strong law of large numbers for positive random variables ⋮ Conditional increments of aggregate discounted claims with a trend ⋮ Differentiation of measures on an arbitrary measurable space ⋮ Combining different models ⋮ Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption ⋮ On quadratic variation of martingales ⋮ On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope

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