Doob–Meyer decomposition theorem

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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.

History[edit]

In 1953, Doob published the Doob decomposition theorem which gives a unique decomposition for certain discrete time martingales.[1] 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.[2][3] In honor of Doob, Meyer used the term "class D" to refer to the class of supermartingales for which his unique decomposition theorem applied.[4]

Class D Supermartingales[edit]

A càdlàg submartingale  Z is of Class D if Z_0=0 and the collection

 \{Z_T \mid \text{T a finite valued stopping time} \}

is uniformly integrable.[5]

The theorem[edit]

Let Z be a cadlag submartingale of class D with  Z_0 =0. Then there exists a unique, increasing, predictable process  A with  A_0 =0 such that M_t = Z_t - A_t is a uniformly integrable martingale.[5]

See also[edit]

Notes[edit]

  1. ^ Doob 1953
  2. ^ Meyer 1952
  3. ^ Meyer 1963
  4. ^ Protter 2005
  5. ^ a b Protter (2005)

References[edit]

  • 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. 

External links[edit]