Doob-Meyer decomposition
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Problem 17.2 from Bass R.F. "Stochastic Processes" [Bas11]More problems in Chapter 17 "Processes with jumps"
If is an increasing process and is its compensator, show that jumps only when does.
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Origin: Stated according to the original source
References
[Bas11] Bass R.F. Stochastic Processes. Cambridge University Press, 2011.