Department of Economics and Business Economics

A short proof of the Doob-Meyer theorem

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Standard

A short proof of the Doob-Meyer theorem. / Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen.

In: Stochastic Processes and Their Applications, Vol. 122, No. 4, 01.04.2012, p. 1204-1209.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Beiglböck, M, Schachermayer, W & Veliyev, B 2012, 'A short proof of the Doob-Meyer theorem', Stochastic Processes and Their Applications, vol. 122, no. 4, pp. 1204-1209. https://doi.org/10.1016/j.spa.2011.12.001

APA

Beiglböck, M., Schachermayer, W., & Veliyev, B. (2012). A short proof of the Doob-Meyer theorem. Stochastic Processes and Their Applications, 122(4), 1204-1209. https://doi.org/10.1016/j.spa.2011.12.001

CBE

Beiglböck M, Schachermayer W, Veliyev B. 2012. A short proof of the Doob-Meyer theorem. Stochastic Processes and Their Applications. 122(4):1204-1209. https://doi.org/10.1016/j.spa.2011.12.001

MLA

Beiglböck, Mathias, Walter Schachermayer, and Bezirgen Veliyev. "A short proof of the Doob-Meyer theorem". Stochastic Processes and Their Applications. 2012, 122(4). 1204-1209. https://doi.org/10.1016/j.spa.2011.12.001

Vancouver

Beiglböck M, Schachermayer W, Veliyev B. A short proof of the Doob-Meyer theorem. Stochastic Processes and Their Applications. 2012 Apr 1;122(4):1204-1209. https://doi.org/10.1016/j.spa.2011.12.001

Author

Beiglböck, Mathias ; Schachermayer, Walter ; Veliyev, Bezirgen. / A short proof of the Doob-Meyer theorem. In: Stochastic Processes and Their Applications. 2012 ; Vol. 122, No. 4. pp. 1204-1209.

Bibtex

@article{8203dfebc59941a68ca2b34fe01802b6,
title = "A short proof of the Doob-Meyer theorem",
abstract = "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 proof of the Doob-Meyer decomposition theorem. Several previously known arguments are included to keep the paper self-contained.",
keywords = "Doob-Meyer decomposition, Komlos lemma",
author = "Mathias Beiglb{\"o}ck and Walter Schachermayer and Bezirgen Veliyev",
year = "2012",
month = apr,
day = "1",
doi = "10.1016/j.spa.2011.12.001",
language = "English",
volume = "122",
pages = "1204--1209",
journal = "Stochastic Processes and Their Applications",
issn = "0304-4149",
publisher = "Elsevier BV * North-Holland",
number = "4",

}

RIS

TY - JOUR

T1 - A short proof of the Doob-Meyer theorem

AU - Beiglböck, Mathias

AU - Schachermayer, Walter

AU - Veliyev, Bezirgen

PY - 2012/4/1

Y1 - 2012/4/1

N2 - 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 proof of the Doob-Meyer decomposition theorem. Several previously known arguments are included to keep the paper self-contained.

AB - 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 proof of the Doob-Meyer decomposition theorem. Several previously known arguments are included to keep the paper self-contained.

KW - Doob-Meyer decomposition

KW - Komlos lemma

U2 - 10.1016/j.spa.2011.12.001

DO - 10.1016/j.spa.2011.12.001

M3 - Journal article

C2 - 30976134

AN - SCOPUS:84857926054

VL - 122

SP - 1204

EP - 1209

JO - Stochastic Processes and Their Applications

JF - Stochastic Processes and Their Applications

SN - 0304-4149

IS - 4

ER -