On a dyadic approximation of predictable processes of finite variation

DOI10.1214/ECP.V19-2972zbMATH Open1333.60058arXiv1306.6238MaRDI QIDQ743377FDOQ743377

Authors: Pietro Siorpaes 

Publication date: 24 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We show that any cadlag predictable process of finite variation is an a.s. limit of elementary predictable processes; it follows that predictable stopping times can be approximated `from below' by predictable stopping times which take finitely many values. We then obtain as corollaries two classical theorems: predictable stopping times are announceable, and an increasing process is predictable iff it is natural.

Full work available at URL: https://arxiv.org/abs/1306.6238

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zbMATH Keywords

naturalstopping timescompensatorsubmartingalesalmost sure limitdyadic approximationpredictable processes

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

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• Dyadic approximation of double integrals with respect to symmetric stable processes
• An elementary approach to naturality, predictability, and the fundamental theorem of local martingales
• PREDICTABILITY OF MULTIPLICATIVE PROCESSES: A PRELIMINARY STUDY
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