相关论文: A Simple Proof of the Bichteler-Dellacherie Theore…

We give an elementary proof of the celebrated Bichteler-Dellacherie Theorem which states that the class of stochastic processes $S$ allowing for a useful integration theory consists precisely of those processes which can be written in the…

We consider a little-known abstract decomposition result for positive measures due to Dellacherie, and show that it yields many decompositions of measures, several of which are new. We then extend Dellacherie's result to (controlled) vector…

Every submartingale S of class D has a unique Doob-Meyer decomposition S=M+A, where M is a martingale and A is a predictable increasing process starting at 0. We provide a short and elementary prove of the Doob-Meyer decomposition theorem.…

Dedekind stated and proved the well-known fact that a lattice is modular if and only if it does not contain a pentagon as a sublattice. In this paper we consider a similar result in the literature for the case of certain class of modular…

Stricker's theorem states that a Gaussian process is a semimartingale in its natural filtration if and only if it is the sum of an independent increment Gaussian process and a Gaussian process of finite variation, see [1983, Z. Wahrsch.…

A scattering process can be described by suitably closing the system and considering the first return map from the entrance onto itself. This scattering map may be singular and discontinuous, but it will be measure preserving as a…

Suppose that a real valued process X is given as a solution to a stochastic differential equation. Then, for any twice continuously differentiable function f, the backward Kolmogorov equation gives a condition for f(t,X) to be a local…

Let U be an open set in R^d. We show that under a mild assumption on the richness of the generator a Feller process in U with (predictable) killing is a semimartingale. To this end we generalize the notion of semimartingales in a natural…

The main objective consists in generalizing a well-known It{\^o} formula of J. Jacod and A. Shiryaev: given a c{\`a}dl{\`a}g process S, there is an equivalence between the fact that S is a semimartingale with given characteristics (B^k , C,…

We consider decompositions of processes of the form $Y=f(t,X_t)$ where $X$ is a semimartingale. The function $f$ is not required to be differentiable, so It\^{o}'s lemma does not apply. In the case where $f(t,x)$ is independent of $t$, it…

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…

This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and \{O}ksendal (2005) ensuring the semimartingale property for a large class of continuous stochastic processes.…

We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly…

An integration by parts formula is the foundation for stochastic analysis on path spaces over a (finite dimensional) Riemannian manifold or over $R^n$, from which we may deduce the operator $d$ is closable and define the Laplacian operator…

In this paper, a spectral theorem is proved for self-adjoint cyclically compact partial integral operators in the space of functions with mixed norm, which is a Kaplansky--Hilbert module. The decomposition through eigenfunctions, integral…

The measurable Riemann mapping theorem proved by Morrey and in some particular cases by Ahlfors, Lavrentiev and Vekua, says that any measurable almost complex structure on $\rd$ ($S^2$) with bounded dilatation is integrable: there is a…

In this article, a sublinear expectation induced by $G$-expectation is introduced, which is called $G$-evaluation for convenience. As an application, we prove that any $\xi\in L^\beta_G(\Omega_T)$ with some $\beta>1$ the decomposition…

We consider a class of semi-Markov processes (SMP) such that the embedded discrete time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using stochastic integral equation…

Let $A$ be a pseudocompact (or profinite) algebra, so $A=C^*$ where $C$ is a coalgebra. We show that the if the semiartinian part (the "Dickson" part) of every $A$-module $M$ splits off in $M$, then $A$ is semiartinian, also giving a…

We give a notably simpler and shorter proof of H. B. Neumann's result which is stated, cursorly, like this. For any well-ordered subset, A, of a totally ordered semigroup, the set of products of any finite number of elements of A is itself…