On semimartingale decompositions of convex functions of semimartingales (Q811642)

Let \(X\) be a \(d\)-dimensional semimartingale, and let \(f\) mapping \(\mathbb{R}^ d\) to \(\mathbb{R}\) be convex. Then it is well-known that \(f(X)\) is also a semimartingale. This theorem is given a new proof which gives the semimartingale decomposition of \(f(X)\) in terms of uniform limits of explicitly identified processes.