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The Doob-Meyer Decomposition Revisited

Published online by Cambridge University Press:  20 November 2018

Richard F. Bass
Richard F. Bass*
Affiliation:
Department of Mathematics, University of Washington, Seattle, Washington 98195, U.S.A.
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Abstract

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A new proof is given of the Doob-Meyer decomposition of a supermartingale into martingale and decreasing parts. Although not the most concise proof, the proof is elementary in the sense that nothing more sophisticated than Doob's inequality is used. If the supermartingale is bounded and the jump times are totally inaccessible, then it is shown that discrete time approximations converge to the decreasing part in L2. The general case is handled by reduction to the above special case.

Keywords

Primary: 60G07secondary: 60G0560G44supermartingalesDoob-Meyer decompositionpredictabletotally inaccessiblemartingales
Type
Research Article
Information
Canadian Mathematical Bulletin , Volume 39 , Issue 2 , 01 June 1996 , pp. 138 - 150
Copyright
Copyright © Canadian Mathematical Society 1996

References

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