A Simple Proof of the Bichteler-Dellacherie Theorem
Probability
2014-04-30 v5
Abstract
We give a simple and rather elementary proof of the celebrated Bichteler-Dellacherie-Mokobodzki Theorem, which states that a process S is a good integrator if and only if it is a semimartingale. As a corollary, we obtain a characterization of semimartingales along the lines of classical Riemann integrability.
Keywords
Cite
@article{arxiv.1201.1996,
title = {A Simple Proof of the Bichteler-Dellacherie Theorem},
author = {Mathias Beiglboeck and Pietro Siorpaes},
journal= {arXiv preprint arXiv:1201.1996},
year = {2014}
}
Comments
version 5. Applied minor changes, mostly in Lemma 5.1, which should now be clearer