Past exam of the martingales and financial mathematics course of the University of Oxford / 2008 / A / 3 / b / iii

In any proposed decomposition, $Z_n^{\prime }=X_n-Y_n^{\prime }$ is integrable. Its increment is ${\mathcal{F}}_{n-1}$-measurable by predictability. Taking conditional expectation of the difference equation givesThe martingale increment has conditional mean zero, and a measurable integrable variable equals its own conditional expectation. Starting from $Z_0^{\prime }=0$, summation gives $Z_n^{\prime }={\sum }_{j=0}^n{G}_j=Z_n$. Hence $Y_n^{\prime }=X_n-Z_n^{\prime }=Y_n$. Thus the normalized predictable decomposition is unique, with a common probability-one event available for all integer times by countability.