Decomposition of an additive functional into a Martingale part and other This question relates to a theorem about the decomposition of additive functionals---a technique especially useful in macroeconomics and finance. This question has two objective. First, I don't have a reference to the theorem that shows when this is possible, and I would like to find it. Second, I would like to know how to actually find this decomposition.

Consider the following autoregressive model:
$$
X_{t+1} = \alpha_0 + \beta_0 (X_t - \alpha_0) + W_{t+1},
$$
where $-1 &lt; \beta_0 &lt; 1$ and $W_{t+1}$ is distributed as a normal with mean zero and variance one. Now, consider the additive functional
$$
Y_t = \sum_{j=1}^t X_j.
$$
How would I produce the decomposition of the form
$$
Y_t = r_1 t + M_t - r_2 (X_t - X_0)
$$
where $\{M_t \}$ is a Martingale? (How can obtain the values $r_1$, $r_2$, and $M_t - M_{t-1}$?)
Using the given formulas (inserting the expression for the $X$'s in the sum), we arrive at

$$Y_t = (1-\beta_0)\alpha_0\cdot t + \beta_0\sum_{j=0}^{t-1}X_j +\sum_{j=1}^{t}W_j $$

We do not need a theorem to obtain that, given the description of the problem.

Manipulating, 

$$Y_t= (1-\beta_0)\alpha_0\cdot t  - \beta_0(X_t-X_0) + \beta_0Y_{t}  +\sum_{j=1}^{t}W_j$$

$$\implies Y_t = \alpha_0t +\frac{1}{1-\beta_0}\sum_{j=1}^{t}W_j-\frac{\beta_0}{1-\beta_0}(X_t-X_0)$$

and we want to match this with 

$$Y_t = r_1 t + M_t - r_2 (X_t - X_0)$$

We immediately get that we must have  $r_1 =  \alpha_0$, $r_2 = \beta_0/(1-\beta_0)$, and 
$$M_t = \frac{1}{1-\beta_0}\sum_{j=1}^{t}W_j$$

Is $M_t$ as obtained a martingale? We have

$$E[M_t\mid \sigma(t-1,t-2,..)] = \\=\frac{1}{1-\beta_0}E[W_t\mid \sigma(t-1,t-2,..)] + \frac{1}{1-\beta_0}\sum_{j=1}^{t-1}W_j$$

$$= \frac{1}{1-\beta_0}E[W_t\mid \sigma(t-1,t-2,..)] + M_{t-1}$$

So if $E[W_t\mid \sigma(t-1,t-2,..)] = 0$, namely, if the original disturbance is mean-independent from the past (in a more fancy term, if $\{W_t\}$ is a "Martingale difference"), then $M_t$ is a martingale and we have our mapping.