XIII: 54, 620-623, LNM 721 (1979)
MEYER, Paul-André
Caractérisation des semimartingales, d'après Dellacherie (
Stochastic calculus)
This short paper contains the proof of a very important theorem, due to Dellacherie (with the crucial help of Mokobodzki for the functional analytic part). Namely, semimartingales are exactly the processes which give rise to a nice vector measure on the previsible $\sigma$-field, with values in the (non locally convex) space $L^0$. It is only fair to say that this direction was initiated by Métivier and Pellaumail, and that the main result was independently discovered by Bichteler,
Ann. Prob. 9, 1981)
Comment: An important lemma which simplifies the proof and has other applications is given by Yan in
1425Keywords: Semimartingales,
Stochastic integralsNature: Exposition
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