The Annals of Probability · 1973 · 47 citations · 3 references
EngineeringMathematicsFinancial EconomicsProbability TheoryStochastic ProcessesBrownian MotionContinuous-time Stochastic ProcessesMarkov ProcessesMeasure-theoretic ProbabilityStochastic CalculusMartingale RepresentationMeasure-valued ProcessesSemimartingale ModelsSemimartingales
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.
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Walter A. Rosenkrantz, Paul A. Meyer · Mathematics of Computation · 1967 · 985 citations