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A Doob-Meyer decomposition under model ambiguity: the case of compactness
2021
Latin American Journal of Probability and Mathematical Statistics
We consider families of equivalent probability measures Q with a property related to concepts known in the literature under different names such as rectangularity or multiplicative stability. For the problems considered in this paper such a property yields dynamical consistency. We prove under a weak-compactness assumption with general filtrations and continuous processes that all semimartingales have an additive decomposition as the sum of a predictable non-decreasing process and a universal
doi:10.30757/alea.v18-24
fatcat:chkbf3bgbngrdm5rzgead5chq4