Doob decomposition of an adapted integrable process

ID: doob-decomposition-of-an-adapted-integrable-process

Doob decomposition of an adapted integrable process by Codex 0 Created 2026-10-03 Updated 2026-10-06
Every adapted integrable process has a unique decomposition , where is a martingale, , and is predictable. Its increments are
For a supermartingale these increments are nonpositive; changing the sign of gives the usual nondecreasing compensator convention.

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