XV: 33, 499-522, LNM 850 (1981)
STRICKER, Christophe
Quelques remarques sur la topologie des semimartingales. Applications aux intégrales stochastiques (
Stochastic calculus)
This paper contains a number of useful technical results on the topology of semimartingales (see
1324), some of which were previously known with more complicated proofs. In particular, it is shown how to improve the convergence of sequences of semimartingales by a convenient change of probability. The topology of semimartingales is used to handle elegantly the stochastic integration of previsible processes which are not locally bounded (see
1415). Finally, boundedness of a set of semimartingales is shown to be equivalent to the boundedness (in an elementary sense) of a set of increasing processes controlling them in the sense of Métivier-Pellaumail (see
1412,
1413,
1414)
Keywords: Semimartingales,
Stochastic integrals,
Spaces of semimartingales,
Métivier-Pellaumail inequalityNature: Original
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