A simple proof of Kramkov%26apos;s result on uniform supermartingale decompositions

作者：Jacka Saul^*

来源：Stochastics: An International Journal of Probability and Stochastic Processes , 2012, 84(5-6): 599-602.

DOI：10.1080/17442508.2011.570343

• uniform supermartingale
• uniform optional decomposition
• uniform predictable decomposition

We give a simple proof of Kramkov%26apos;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.

• 出版日期2012