A short Proof of the Doob-Meyer Theorem

Published 23 Dec 2010 in math.PR | (1012.5292v1)

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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