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Paper No. 11-06

Download 11-06

SD Jacka

A simple proof of Kramkov's result on uniform supermartingale decompositions

Abstract: We give a simple proof of Kramkov's uniform optional decomposition in the case where the class of density processes satis_es a suitable closure property. In this case the decomposition is previsible.

Keywords: UNIFORM SUPERMARTINGALE; UNIFORM OPTIONAL DECOMPOSITION; UNIFORM PREDICTABLE DECOMPOSITION.