The Annals of Probability

On the Representation of Semimartingales

Hans Follmer

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.

Article information

Source
Ann. Probab., Volume 1, Number 4 (1973), 580-589.

Dates
First available in Project Euclid: 19 April 2007

https://projecteuclid.org/euclid.aop/1176996887

Digital Object Identifier
doi:10.1214/aop/1176996887

Mathematical Reviews number (MathSciNet)
MR353446

Zentralblatt MATH identifier
0265.60044

JSTOR