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Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type

✍ Scribed by Shige Peng

Book ID
106138227
Publisher
Springer
Year
1999
Tongue
English
Weight
163 KB
Volume
113
Category
Article
ISSN
1432-2064

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A new proof of Doob-Meyer decomposition
A new proof of Doob-Meyer decomposition theorem
✍ Zengjing Chen 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 320 KB

In this Note, we use backward stochastic differential equations (BSDEs) to prove the famous Doob-Meyer decomposition theorem for supermartingales. 0 Academic des Sciences/Elsevier, Paris Une nouvele preuue du th&&me de d&composition de Doob-Meyer R&urn& Dam cette Note, nous utilisons les e'quations