On the Representation of Semimartingales
Follmer, Hans
Ann. Probab., Tome 1 (1973) no. 5, p. 580-589 / Harvested from Project Euclid
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We show that $L^1$-bounded semimartingales (quasi-martingales, $F$-processes) correspond to finite signed measures on the $\sigma$-field of previsible sets. This representation of semimartingales as signed measures is used to derive in a unified manner the main decomposition theorems for semi- and supermartingales.
Publié le : 1973-08-14
Classification:  Semimartingales (quasi-martingales $F$-processes) as signed measures,  Rao decomposition,  Doob-Meyer decomposition,  Ito-Watanabe factorization,  60G45 
@article{1176996887,
     author = {Follmer, Hans},
     title = {On the Representation of Semimartingales},
     journal = {Ann. Probab.},
     volume = {1},
     number = {5},
     year = {1973},
     pages = { 580-589},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996887}
}

Follmer, Hans. On the Representation of Semimartingales. Ann. Probab., Tome 1 (1973) no. 5, pp.  580-589. http://gdmltest.u-ga.fr/item/1176996887/