A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage

DOI10.1214/10-AOP602zbMath1232.60028arXiv1004.5559MaRDI QIDQ653308

Mathias Beiglböck, Walter Schachermayer, Bezirgen Veliyev

Publication date: 9 January 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.5559

zbMATH Keywords

Doob-Meyer decomposition; arbitrage; Komlós' lemma; Bichteler-Dellacherie theorem

Mathematics Subject Classification ID

91G80: Financial applications of other theories

60H05: Stochastic integrals

60G05: Foundations of stochastic processes

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