Riemann-integration and a new proof of the Bichteler–Dellacherie theorem

M. Beiglböck and P. Siorpaes

Stochastic Processes and their Applications, 2014, vol. 124, issue 3, 1226-1235

Abstract: We give a new proof of the celebrated Bichteler–Dellacherie theorem, which states that a process S 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.

Keywords: Bichteler–Dellacherie theorem; Semimartingale decomposition; Good integrators (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spa.2013.10.001

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