A short Proof of the Doob-Meyer Theorem
Probability
2010-12-24 v1
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.
Keywords
Cite
@article{arxiv.1012.5292,
title = {A short Proof of the Doob-Meyer Theorem},
author = {Mathias Beiglboeck and Walter Schachermayer and Bezirgen Veliyev},
journal= {arXiv preprint arXiv:1012.5292},
year = {2010}
}