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 a continuous increasing process. It is named for J. L. Doob and Paul-André Meyer.

History

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

A càdlàg supermartingale $Z$ is of Class D if $Z_{0}=0$ and the collection

$\{Z_{T}\mid {\text{T a finite valued stopping time}}\}$

is uniformly integrable.

The theorem

Let $Z$ be a cadlag supermartingale 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.

References

• Doob, J.L. (1953). Stochastic Processes. Wiley.
• Meyer, Paul (1962). "A Decomposition theorem for supermartingales". Illinois Journal of Mathematics. 6: 193–205. {{cite journal}}: Cite has empty unknown parameters: |month= and |coauthors= (help)
• Meyer, Paul (1963). "Decomposition of supermartingales: the uniqueness theorem". Illinois Journal of Mathematics. 7: 1–17. {{cite journal}}: Cite has empty unknown parameters: |month= and |coauthors= (help)
• Protter, Philip (2005). Stochastic Integration and Differential Equations. Springer-Verlag. pp. 107–113. ISBN 3-540-00313-4.

External links

• The Doob–Meyer decomposition theorem with proof, by Jan van Neerven