Towards a general Doob-Meyer decomposition theorem
نویسنده
چکیده
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 finite energy in the Graversen-Rao theorem).
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