Doob Decomposition and Martingales with Bounded Increments

Gravner, J. (2024). Doob Decomposition and Martingales with Bounded Increments.

Type

Web resource

Intellectual base

Web

Year

2024

Link

https://www.math.ucdavis.edu/~gravner/MAT235B/assignments/MAT235B_lec4.pdf

Cited by

1 citation across 1 artifact.

Domain-specific

• Doob Decomposition Theorem
  • For a square-integrable martingale \(N\), applying the decomposition to \(N_n^2\) produces a predictable increasing component often denoted \(\langle N\rangle_n\), which measures accumulated conditional second-moment variation.

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