Doob decomposition theorem
In the theory of stochastic processes in discrete time, a part of the mathematical theory of probability, the Doob decomposition theorem gives a unique decomposition of every adapted and integrable stochastic process as the sum of a martingale and a predictable process (or "drift") starting at zero. The theorem was proved by and is named for Joseph L. Doob. The analogous theorem in the continuous-time case is the Doob–Meyer decomposition theorem.
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Doob decomposition theorem
In the theory of stochastic processes in discrete time, a part of the mathematical theory of probability, the Doob decomposition theorem gives a unique decomposition of every adapted and integrable stochastic process as the sum of a martingale and a predictable process (or "drift") starting at zero. The theorem was proved by and is named for Joseph L. Doob. The analogous theorem in the continuous-time case is the Doob–Meyer decomposition theorem.
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En la teoría de procesos estoc ...... descomposición de Doob-Meyer.
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In the theory of stochastic pr ...... b–Meyer decomposition theorem.
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En la teoría de procesos estoc ...... descomposición de Doob-Meyer.
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In the theory of stochastic pr ...... b–Meyer decomposition theorem.
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Doob decomposition theorem
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Doob-Zerlegung
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Teorema de descomposición de Doob
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