Generalization of Doob decomposition Theorem
Probability
2016-01-15 v1 Mathematical Finance
Abstract
In the paper, we introduce the notion of a local regular supermartingale relative to a convex set of equivalent measures and prove for it an optional Doob decomposition in the discrete case. This Theorem is a generalization of the famous Doob decomposition onto the case of supermartingales relative to a convex set of equivalent measures.
Cite
@article{arxiv.1601.03574,
title = {Generalization of Doob decomposition Theorem},
author = {Nicholas Gonchar},
journal= {arXiv preprint arXiv:1601.03574},
year = {2016}
}