Predictable compensator of a discrete supermartingale
= Predictable compensator of a discrete supermartingale
The increments $\Delta A_{n+1}=V_n-\mathbb E[V_{n+1}\mid\mathcal F_n]$ of a supermartingale are predictable and nonnegative.
= Predictable compensator of a discrete supermartingale
The increments $\Delta A_{n+1}=V_n-\mathbb E[V_{n+1}\mid\mathcal F_n]$ of a supermartingale are predictable and nonnegative.