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A simple proof of Kramkov's result on uniform supermartingale decompositions
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Jacka, Saul D. (2011) A simple proof of Kramkov's result on uniform supermartingale decompositions. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2011 (No.6).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
Abstract
We give a simple proof of Kramkov's uniform optional decomposition in the case where
the class of density processes satisfies a suitable closure property. In this case the decomposition is
previsible.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Decomposition (Mathematics), Martingales (Mathematics) | ||||
Series Name: | Working papers | ||||
Publisher: | University of Warwick. Centre for Research in Statistical Methodology | ||||
Place of Publication: | Coventry | ||||
Official Date: | 2011 | ||||
Dates: |
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Volume: | Vol.2011 | ||||
Number: | No.6 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 |
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