A short proof of the Doob-Meyer theorem

DOI10.1016/J.SPA.2011.12.001zbMATH Open1278.60068arXiv1012.5292OpenAlexW2052247664WikidataQ93042444 ScholiaQ93042444MaRDI QIDQ424466FDOQ424466

Authors: Mathias Beiglböck, Walter Schachermayer, Bezirgen Veliyev 

Publication date: 1 June 2012

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

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. We provide a short and elementary prove of the Doob-Meyer decomposition theorem. Several previously known arguments are included to keep the paper self-contained.

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

Recommendations

• scientific article; zbMATH DE number 2149881
• A simplified proof of the Doob-Meyer theorem for nonnegative submartingales
• A new proof of Doob-Meyer decomposition theorem
• The Doob-Meyer Decomposition Revisited
• On a representation of submartingales and its application

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)

Cites Work

• Title not available (Why is that?)
• A generalization of a problem of Steinhaus
• Title not available (Why is that?)
• Markets with transaction costs. Mathematical theory.
• A decomposition theorem for supermartingales
• Decomposition of supermartingales: The uniqueness theorem
• Existence du processus croissant naturel associ� � un potentiel de la classe (D)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Doob-Meyer Decomposition Revisited
• On Decomposition Theorems of Meyer.

Cited In (25)

• On quadratic variation of martingales
• Title not available (Why is that?)
• A strong law of large numbers for positive random variables
• Generalised noncommutative subsequence principles
• Title not available (Why is that?)
• Conditional increments of aggregate discounted claims with a trend
• Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
• On natural and predictable processes
• Measurability of semimartingale characteristics with respect to the probability law
• On the compensator in the Doob-Meyer decomposition of the Snell envelope
• Title not available (Why is that?)
• Title not available (Why is that?)
• Riemann-integration and a new proof of the Bichteler-Dellacherie theorem
• Relative weak compactness in infinite-dimensional Fefferman-Meyer duality
• On a representation of submartingales and its application
• Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
• Differentiation of measures on an arbitrary measurable space
• Limit theorems for \(\sigma\)-localized Émery convergence
• A note on the Doob-Meyer-decomposition of L^p-valued submartingales
• An elementary approach to naturality, predictability, and the fundamental theorem of local martingales
• Short proof of Menger's theorem
• Combining different models
• A simple proof of Kramkov's result on uniform supermartingale decompositions
• A simplified proof of the Doob-Meyer theorem for nonnegative submartingales
• Title not available (Why is that?)

This page was built for publication: A short proof of the Doob-Meyer theorem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q424466)