Doob–Meyer decomposition theorem
The Doob–Meyer decomposition theorem is a theorem in stochastic calculus stating the conditions under which a submartingale may be decomposed in a unique way as the sum of a martingale and an increasing predictable process. It is named for Joseph L. Doob and Paul-André Meyer.
In 1953, Doob published the Doob decomposition theorem which gives a unique decomposition for certain discrete time martingales. He conjectured a continuous time version of the theorem and in two publications in 1962 and 1963 Paul-André Meyer proved such a theorem, which became known as the Doob-Meyer decomposition. In honor of Doob, Meyer used the term "class D" to refer to the class of supermartingales for which his unique decomposition theorem applied.
Class D Supermartingales
- Doob 1953
- Meyer 1952
- Meyer 1963
- Protter 2005
- Protter (2005)
- Doob, J. L. (1953). Stochastic Processes. Wiley.
- Meyer, Paul (1962). "A Decomposition theorem for supermartingales". Illinois Journal of Mathematics 6: 193–205.
- Meyer, Paul (1963). "Decomposition of supermartingales: the uniqueness theorem". Illinois Journal of Mathematics 7: 1–17.
- Protter, Philip (2005). Stochastic Integration and Differential Equations. Springer-Verlag. pp. 107–113. ISBN 3-540-00313-4.