On the Representation of Semimartingales
Open Access
- 1 August 1973
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Probability
- Vol. 1 (4) , 580-589
- https://doi.org/10.1214/aop/1176996887
Abstract
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.Keywords
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