Riemann-integration and a new proof of the Bichteler-Dellacherie theorem
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Accepted version
Author(s)
Beiglboeck, M
Siorpaes, P
Type
Journal Article
Abstract
We give a new proof of the celebrated Bichteler–Dellacherie theorem, which states that a process is a good integrator if and only if it is the sum of a local martingale and a finite-variation process. As a corollary, we obtain a characterization of semimartingales along the lines of classical Riemann integrability.
Date Issued
2013-10-26
Date Acceptance
2013-10-01
Citation
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2013, 124 (3), pp.1226-1235
ISSN
0304-4149
Publisher
ELSEVIER SCIENCE BV
Start Page
1226
End Page
1235
Journal / Book Title
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
Volume
124
Issue
3
Copyright Statement
© 2013 Elsevier B.V. All rights reserved. This manuscript is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000331020500002&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Bichteler-Dellacherie theorem
Semimartingale decomposition
Good integrators
QUASI-MARTINGALES
STOCHASTIC INTEGRATORS
SEMI-MARTINGALES
Publication Status
Published