A short Proof of the Doob-Meyer Theorem

Details A short Proof of the Doob-Meyer Theorem A short Proof of the Doob-Meyer Theorem

2010-12-23

arxiv.org/abs/1012.5292v1

Mathematics

Probability

Scientific paper

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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