Optional decomposition of optional supermartingales and applications to filtering and finance

Abdelghani, M; Melnikov, A

Abdelghani, M (reprint author), Morgan Stanley, Machine Learning Grp, New York, NY 10036 USA.

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2019; 91 (6): 797

Abstract

The classical Doob-Meyer decomposition and its uniform version the optional decomposition are stated on probability spaces with filtrations satisfying......

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