Mathematics and Economics

(Michael S) #1
Uncertainty and Probability Multiple Prior Martingale Theory

Doob Decomposition


Theorem
Let(St)be a multiple prior supermartingale.
Then there exists a multiple prior martingale M and a predictable,
nondecreasing process A with A 0 = 0such that S=M−A. Such a
decomposition is unique.

Remark
Standard proof goes through.
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