The Riesz representation theorem and weak^ compactness of semimartingales
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Publication:2211341
Abstract: We show that the sequential closure of a family of probability measures on the canonical space of c{`a}dl{`a}g paths satisfying Stricker's uniform tightness condition is a weak compact set of semimartingale measures in the pairing of the Riesz representation theorem under topological assumptions on the path space. Similar results are obtained for quasi- and supermartingales under analogous conditions. In particular, we give a full characterization of the strongest topology on the Skorokhod space for which these results are true.
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