A Generalization of Stochastic Integration with Respect to Semimartingales
Emery, M.
Ann. Probab., Tome 10 (1982) no. 4, p. 709-727 / Harvested from Project Euclid
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On the real line, there exist $\sigma$-finite measures which are not Radon measures, but are nevertheless defined on all bounded intervals $\big(\text{e.g.} \frac{1}{x} \sin \frac{1}{x} dx, \text{or} \sum_n\frac{(-1)^n}{n} \delta_{1/n}\big).$ Similarly, in stochastic calculus, there exist processes that, though not semimartingales, can be obtained as stochastic integrals of predictable processes with respect to semimartingales. This paper deals with such processes.
Publié le : 1982-08-14
Classification:  Semimartingales,  stochastic integration,  general theory of processes,  60G48,  60H05,  60G07 
@article{1176993779,
     author = {Emery, M.},
     title = {A Generalization of Stochastic Integration with Respect to Semimartingales},
     journal = {Ann. Probab.},
     volume = {10},
     number = {4},
     year = {1982},
     pages = { 709-727},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993779}
}

Emery, M. A Generalization of Stochastic Integration with Respect to Semimartingales. Ann. Probab., Tome 10 (1982) no. 4, pp.  709-727. http://gdmltest.u-ga.fr/item/1176993779/