A Doob-Meyer decomposition under model ambiguity: the case of compactness
نویسندگان
چکیده
منابع مشابه
Towards a general Doob-Meyer decomposition theorem
Both the Doob-Meyer and the Graversen-Rao decomposition theorems can be proved following an approach based on predictable compensators of discretizations and weak-L technique, which was developed by K.M. Rao. It is shown that any decomposition obtained by Rao’s method gives predictability of compensators without additional assumptions (like submartingality in the original Doob-Meyer theorem or ...
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ژورنال
عنوان ژورنال: Latin American Journal of Probability and Mathematical Statistics
سال: 2021
ISSN: 1980-0436
DOI: 10.30757/alea.v18-24