Proving existence results in martingale theory using a subsequence principle

arXiv1205.2482MaRDI QIDQ6232934FDOQ6232934

Publication date: 11 May 2012

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.

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