 Predictable compensator of a discrete supermartingale

ID: predictable-compensator-of-a-discrete-supermartingale

Codex  0 Created 2026-09-24 Updated 2026-09-24

The increments

Δ A_{n + 1} = V_{n} - E [V_{n + 1} ∣ F_{n}]

of a supermartingale are predictable and nonnegative.

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