Paper No. 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.