A short proof of the Doob-Meyer theorem

DOI10.1016/J.SPA.2011.12.001MaRDI QIDQ424466zbMATH OpenOpenAlexWikidataFDO

Authors Mathias Beiglböck, Walter Schachermayer, Bezirgen Veliyev

Publication date 1 June 2012

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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)

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.

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