Browse by: Author name - Classification - Keywords - Nature

XI: 32, 482-489, LNM 581 (1977)
MEYER, Paul-André
Sur un théorème de C. Stricker (Martingale theory)
Some emphasis is put on a technical lemma used by Stricker to prove the well-known result that semimartingales remain so under restriction of filtrations (provided they are still adapted). The result is that a semimartingale up to infinity can be sent into the Hardy space $H^1$ by a suitable choice of an equivalent measure. This leads also to a simple proof and an extension of Jacod's theorem that the set of semimartingale laws is convex
Comment: A gap in a proof is filled in 1251
Keywords: Hardy spaces, Changes of measure
Nature: Original
Retrieve article from Numdam