Browse by: Author name - Classification - Keywords - Nature

X: 23, 501-504, LNM 511 (1976)
MEYER, Paul-André; YOEURP, Chantha
Sur la décomposition multiplicative des sousmartingales positives (Martingale theory)
This paper expands part of Yoeurp's paper 1021, to cover the decomposition of positive submartingales instead supermartingales, assuming that the process never vanishes. A corollary is that every positive (not necessarily strictly so) submartingale $X_t$ is the optional projection of an increasing process $C_t$, non-adapted, such that $0\leq C_t\leq X_{\infty}$
Comment: See the comments on 1021 for the general case. The latter result is related to Meyer 817. For a related paper, see 1203. Further study in 1620
Keywords: Multiplicative decomposition
Nature: Original
Retrieve article from Numdam