Proving existence results in martingale theory using a subsequence principle
Probability
2014-10-28 v2
Abstract
New proofs are given of the existence of the compensator (or dual predictable projection) of a locally integrable c\'adl\'ag adapted process of finite variation and of the existence of the quadratic variation process for a c\'adl\'ag local martingale. Both proofs apply a functional analytic subsequence principle. After presenting the proofs, we discuss their application in giving a simplified account of the construction of the stochastic integral of a locally bounded predictable process with respect to a semimartingale.
Cite
@article{arxiv.1205.2482,
title = {Proving existence results in martingale theory using a subsequence principle},
author = {Alexander Sokol},
journal= {arXiv preprint arXiv:1205.2482},
year = {2014}
}