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IX: 19, 408-419, LNM 465 (1975)

**STRICKER, Christophe**

Mesure de Föllmer en théorie des quasimartingales (Martingale theory)

The Föllmer measure associated with a positive supermartingale, or more generally a quasimartingale (Föllmer,*Z. für W-theorie,* **21**, 1972; *Ann. Prob.* **1**, 1973) is constructed using a weak limit procedure instead of a projective limit

Comment: On Föllmer measures see 611. This paper corresponds to an early stage in the theory of quasimartingales, for which the main reference was Orey,*Proc. Fifth Berkeley Symp.*, **2**

Keywords: Quasimartingales, Föllmer measures

Nature: Original

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IX: 20, 420-424, LNM 465 (1975)

**STRICKER, Christophe**

Une caractérisation des quasimartingales (Martingale theory)

An integral criterion is shown to be equivalent to the usual definition of a quasimartingale using the stochastic variation

Keywords: Quasimartingales

Nature: Original

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XI: 23, 365-375, LNM 581 (1977)

**DELLACHERIE, Claude**; **STRICKER, Christophe**

Changements de temps et intégrales stochastiques (Martingale theory)

A probability space $(\Omega, {\cal F}, P)$ such that $L^1(P)$ is separable (a condition which is often fulfilled) is endowed with a filtration $({\cal F}_t)$ satisfying the usual conditions. Then (extending ideas of Yan, see 925) it is shown that there exists a right continuous strictly increasing process $(O_t)$ such that every optional process is indistinguishable from a deterministic function $f(0_t)$, every previsible process from a deterministic function of $(0_{t-})$. Using the change of time associated with this process, previsible processes of the original filtration are time changed into deterministic processes, and the theory of stochastic integration is reduced to spectral integrals (as Stieltjes integration on the line can be reduced to Lebesgue's). A bounded previsible process $(u_t)$ define a bounded operator $U$ on $L^2$ as follows: starting from $h\in L^2$, construct the closed martingale $E[h|{\cal F}_t] =H_t$, and then $Uh=\int_0^\infty u_s dH_s$. Using the preceding results it is shown that the von Neumann algebra generated by the conditional expectation operators $E[\sc |{\cal F}_T]$ where $T$ is a stopping time consists exactly of these stochastic integral operators. On this point see also 1135

Comment: The last section states an interesting open problem

Keywords: Changes of time, Spectral representation

Nature: Original

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XII: 02, 20-21, LNM 649 (1978)

**STRICKER, Christophe**

Une remarque sur les changements de temps et les martingales locales (Martingale theory)

It is well known (see 606) that in general the class of local martingales is not invariant under changes of time. Here it is shown that, if ${\cal F}_0$ is trivial, a process which remains a local martingale under all changes of time (with bounded stopping times) is a true martingale (in full generality, it is so conditionally to ${\cal F}_0$)

Keywords: Changes of time, Weak martingales

Nature: Original

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XII: 25, 364-377, LNM 649 (1978)

**STRICKER, Christophe**

Les ralentissements en théorie générale des processus (General theory of processes)

Given a filtration $({\cal F}t)$ and a stopping time $T$, we may define a new filtration $({\cal G}_t)$ as follows: we introduce an independent random variable $S$, and in intuitive language, we run the picture of $({\cal F}_t)$ up to time $T$, freeze the image between times $T$ and $T+S$, and then start running it again. The main result of this paper is the possibility, by performing this at all the times of discontinuity of $({\cal F}_t)$, to construct a filtration $({\cal G}_t)$ which is quasi-left-continuous. Though the idea is simple, there are considerable technical difficulties

Nature: Original

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XIII: 07, 116-117, LNM 721 (1979)

**ÉMERY, Michel**; **STRICKER, Christophe**

Démonstration élémentaire d'un résultat d'Azéma et Jeulin (Martingale theory)

A short proof is given for the following result: given a positive supermartingale $X$ and $h>0$, the supermartingale $E[X_{t+h}\,|\,{\cal F}_t]$ belongs to the class (D). The original proof (*Ann. Inst. Henri Poincaré,* **12**, 1976) used Föllmer's measures

Keywords: Class (D) processes

Nature: Original

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XIII: 19, 233-237, LNM 721 (1979)

**STRICKER, Christophe**

Sur la $p$-variation des surmartingales (Martingale theory)

The method of the preceding paper of Bruneau 1318 is extended to all right-continuous semimartingales

Keywords: $p$-variation, Upcrossings

Nature: Original

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XIII: 20, 238-239, LNM 721 (1979)

**STRICKER, Christophe**

Une remarque sur l'exposé précédent (Martingale theory)

A few comments are added to the preceding paper 1319, concerning in particular its relationship with results of Lépingle,*Zeit. für W-Theorie,* **36**, 1976

Keywords: $p$-variation, Upcrossings

Nature: Original

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XIII: 40, 472-477, LNM 721 (1979)

**STRICKER, Christophe**

Semimartingales et valeur absolue (General theory of processes)

For the general notation, see 1338. A result of Yoeurp that absolute values preserves quasimartingales is extended: convex functions satisfying a Lipschitz condition operate on quasimartingales. For $p\ge1$, $X\in H^p$ implies $|X|^p\in H^1$. Then it is shown that for a continuous adapted process $X$, it is equivalent to say that $X$ and $|X|$ are quasimartingales (or semimartingales). Then comes a result related to the main problem of this series: with the general notations above, if $X$ is assumed to be a quasimartingale such that $X_{D_t}=0$ for all $t$, if the process $Z$ is progressive and bounded, then the process $Z_{g_t}X_t$ is a quasimartingale

Comment: A complement is given in the next paper 1341. See also 1351

Keywords: Balayage, Quasimartingales

Nature: Original

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XIII: 41, 478-487, LNM 721 (1979)

**MEYER, Paul-André**; **STRICKER, Christophe**; **YOR, Marc**

Sur une formule de la théorie du balayage (General theory of processes)

For the notation, see the review of 1340. It is shown here that under the same hypotheses, the semimartingale $Z_{g_t}X_t$ is a sum of three terms: the stochastic integral $\int_0^t \zeta_s dX_s$, where $\zeta$ is the previsible projection of $Z$, an explicit sum of jumps involving $Z-\zeta$, and a mysterious continuous process with finite variation $(R_t)$ such that $dR_t$ is carried by $H$, equal to $0$ if $Z$ was optional

Comment: See 1351, 1357

Keywords: Balayage, Balayage formula

Nature: Original

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XIII: 51, 610-610, LNM 721 (1979)

**STRICKER, Christophe**

Encore une remarque sur la ``formule de balayage'' (General theory of processes)

A slight extension of 1341

Keywords: Balayage

Nature: Original

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XIV: 10, 104-111, LNM 784 (1980)

**STRICKER, Christophe**

Prolongement des semi-martingales (Stochastic calculus)

The problem consists in characterizing semimartingales on $]0,\infty[$ which can be ``closed at infinity'', and the similar problem at $0$. The criteria are similar to the Vitali-Hahn-Saks theorem and involve convergence in probability of suitable stochastic integrals. The proof rests on a functional analytic result of Maurey-Pisier

Keywords: Semimartingales, Semimartingales in an open interval

Nature: Original

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XIV: 11, 112-115, LNM 784 (1980)

**STRICKER, Christophe**

Projection optionnelle des semi-martingales (Stochastic calculus)

Let $({\cal G}_t)$ be a subfiltration of $({\cal F}_t)$. Since the optional projection on $({\cal G}_t)$ of a ${\cal F}$-martingale is a ${\cal G}$-martingale, and the projection of an increasing process a ${\cal G}$-submartingale, projections of ${\cal F}$-semimartingales ``should be'' ${\cal G}$-semimartingales. This is true for quasimartingales, but false in general

Comment: The main results on subfiltrations are proved by Stricker in*Zeit. für W-Theorie,* **39**, 1977

Keywords: Semimartingales, Projection theorems

Nature: Original

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XIV: 15, 128-139, LNM 784 (1980)

**CHOU, Ching Sung**; **MEYER, Paul-André**; **STRICKER, Christophe**

Sur l'intégrale stochastique de processus prévisibles non bornés (Stochastic calculus)

The standard theory of stochastic integration deals with locally bounded previsible processes. The natural definition of the stochastic integral $H.X$ of a previsible process $H$ w.r.t. a semimartingale $X$ consists in assuming the existence of some decomposition $X=M+A$ such that $H.M$ exists in the martingale sense, and $H.A$ in the Stieltjes sense, and then defining $H.X$ as their sum. This turns out to be a very awkward definition. It is shown here to be equivalent to the following one: truncating $H$ at $n$, the standard stochastic integrals $H_n.X$ converge in the topology of semimartingales. This is clearly invariant under changes of law. A counterexample shows that integrability may be lost if the filtration is enlarged

Comment: See also 1417. This is a synthesis of earlier work, much of which is due to Jacod,*Calcul Stochastique et Problèmes de Martingales,* Lect. Notes in M. 714. The contents of this paper appeared in book form in Dellacherie-Meyer, *Probabilités et Potentiel B,* Chap. VIII, \S3. An equivalent definition is given by L. Schwartz in 1530, using the idea of ``formal semimartingales''. For further steps in the same direction, see Stricker 1533

Keywords: Stochastic integrals

Nature: Exposition, Original additions

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XV: 31, 490-492, LNM 850 (1981)

**STRICKER, Christophe**

Sur deux questions posées par Schwartz (Stochastic calculus)

Schwartz studied semimartingales in random open sets, and raised two questions: Given a semimartingale $X$ and a random open set $A$, 1) Assume $X$ is increasing in every subinterval of $A$; then is $X$ equal on $A$ to an increasing adapted process on the whole line? 2) Same statement with ``increasing'' replaced by ``continuous''. Schwartz could prove statement 1) assuming $X$ was continuous. It is proved here that 1) is false if $X$ is only cadlag, and that 2) is false in general, though it is true if $A$ is previsible, or only accessible

Keywords: Random sets, Semimartingales in a random open set

Nature: Original

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XV: 32, 493-498, LNM 850 (1981)

**STRICKER, Christophe**

Quasi-martingales et variations (Martingale theory)

This paper contains remarks on quasimartingales, the most useful of which being perhaps the fact that, for a right-continuous process, the stochastic variation is the same with respect to the filtrations $({\cal F}_{t})$ and $({\cal F}_{t-})$

Keywords: Quasimartingales

Nature: Original

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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 inequality

Nature: Original

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XV: 34, 523-525, LNM 850 (1981)

**STRICKER, Christophe**

Sur la caractérisation des semi-martingales (General theory of processes, Stochastic calculus)

This is a sequel to the preceding paper 1533, giving a simple proof that any semimartingale may be brought into any class ${\cal S}^p$ by a convenient change of probability

Keywords: Semimartingales, Spaces of semimartingales

Nature: Original

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XVI: 17, 213-218, LNM 920 (1982)

**FALKNER, Neil**; **STRICKER, Christophe**; **YOR, Marc**

Temps d'arrêt riches et applications (General theory of processes)

This paper starts from the existence of increasing left-continuous processes $(A_t)$ which generate the previsible $\sigma$-field, i.e., every previsible process can be represented as $f(X_t)$ for some Borel function $f$ (see 1123), to prove the existence (discovered by the first named author) of ``rich'' stopping times $T$, i.e., previsible stopping times which encode the whole past up to time $T$: $\sigma(T)={\cal F}_{T-}$ (a few details are omitted here). This result leads to counterexamples: a non-reversible semimartingale (see the preceding paper 1616) and a stopping time $T$ for Brownian motion such that $L^a_T$ is not a semimartingale in its space variable $a$

Keywords: Stopping times, Local times, Semimartingales, Previsible processes

Nature: Original

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XVI: 18, 219-220, LNM 920 (1982)

**STRICKER, Christophe**

Les intervalles de constance de $\langle X,X\rangle$ (Martingale theory, Stochastic calculus)

For a continuous (local) martingale $X$, the constancy intervals of $X$ and $<X,X>$ are exactly the same. What about general local martingales? It is proved that $X$ is constant on the constancy intervals of $<X,X>$, and the converse holds if $X$ has the previsible representation property

Keywords: Quadratic variation, Previsible representation

Nature: Original

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XVII: 29, 298-305, LNM 986 (1983)

**ABOULAÏCH, Rajae**; **STRICKER, Christophe**

Variation des processus mesurables

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XVII: 30, 306-310, LNM 986 (1983)

**ABOULAÏCH, Rajae**; **STRICKER, Christophe**

Sur un théorème de Talagrand

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XVIII: 11, 144-147, LNM 1059 (1984)

**STRICKER, Christophe**

Approximation du crochet de certaines semimartingales continues

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XVIII: 12, 148-153, LNM 1059 (1984)

**STRICKER, Christophe**

Caractérisation des semimartingales

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XIX: 14, 209-217, LNM 1123 (1985)

**STRICKER, Christophe**

Lois de semimartingales et critères de compacité

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XIX: 15, 218-221, LNM 1123 (1985)

**STRICKER, Christophe**

Une remarque sur une certaine classe de semimartingales

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XX: 04, 34-39, LNM 1204 (1986)

**PONTIER, Monique**; **STRICKER, Christophe**; **SZPIRGLAS, Jacques**

Sur le théorème de représentation par rapport à l'innovation

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XXII: 13, 144-146, LNM 1321 (1988)

**STRICKER, Christophe**

À propos d'une conjecture de Meyer

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XXIV: 16, 266-274, LNM 1426 (1990)

**ANSEL, Jean-Pascal**; **STRICKER, Christophe**

Quelques remarques sur un théorème de Yan

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XXVII: 03, 22-29, LNM 1557 (1993)

**ANSEL, Jean-Pascal**; **STRICKER, Christophe**

Unicité et existence de la loi minimale

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XXVII: 04, 30-32, LNM 1557 (1993)

**ANSEL, Jean-Pascal**; **STRICKER, Christophe**

Décomposition de Kunita-Watanabe

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XXVIII: 18, 189-194, LNM 1583 (1994)

**MONAT, Pascale**; **STRICKER, Christophe**

Fermeture de $G_T(\Theta)$ et de $L^2({\cal F}_0)+G_T(\Theta)$

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XXX: 02, 12-23, LNM 1626 (1996)

**CHOULLI, Tahir**; **STRICKER, Christophe**

Deux applications de la décomposition de Galtchouk-Kunita-Watanabe

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XXXII: 06, 56-66, LNM 1686 (1998)

**STRICKER, Christophe**; **YAN, Jia-An**

Some remarks on the optional decomposition theorem

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XXXII: 07, 67-72, LNM 1686 (1998)

**CHOULLI, Tahir**; **STRICKER, Christophe**

Séparation d'une sur- et d'une sous-martingale par une martingale

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XXXV: 08, 139-148, LNM 1755 (2001)

**KABANOV, Youri**; **STRICKER, Christophe**

On equivalent martingale measures with bounded densities

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XXXV: 09, 149-152, LNM 1755 (2001)

**KABANOV, Youri**; **STRICKER, Christophe**

A teacher's note on no-arbitrage criteria

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XXXVI: 20, 413-414, LNM 1801 (2003)

**STRICKER, Christophe**

On the true submartingale property, d'après Schachermayer

XXXVI: 21, 415-418, LNM 1801 (2003)

**STRICKER, Christophe**

Simple strategies in exponential utility maximization

XXXVIII: 13, 186-194, LNM 1857 (2005)

**KABANOV, Yuri**; **STRICKER, Christophe**

Remarks on the true no-arbitrage property

XXXIX: 11, 209-213, LNM 1874 (2006)

**KABANOV, Yuri**; **STRICKER, Christophe**

The Dalang--Morton--Willinger theorem under delayed and restricted information

XLI: 21, 439-442, LNM 1934 (2008)

**KABANOV, Yuri**; **STRICKER, Christophe**

On martingale selectors of cone-valued processes (Theory of martingales)

Nature: Original

Mesure de Föllmer en théorie des quasimartingales (Martingale theory)

The Föllmer measure associated with a positive supermartingale, or more generally a quasimartingale (Föllmer,

Comment: On Föllmer measures see 611. This paper corresponds to an early stage in the theory of quasimartingales, for which the main reference was Orey,

Keywords: Quasimartingales, Föllmer measures

Nature: Original

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IX: 20, 420-424, LNM 465 (1975)

Une caractérisation des quasimartingales (Martingale theory)

An integral criterion is shown to be equivalent to the usual definition of a quasimartingale using the stochastic variation

Keywords: Quasimartingales

Nature: Original

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XI: 23, 365-375, LNM 581 (1977)

Changements de temps et intégrales stochastiques (Martingale theory)

A probability space $(\Omega, {\cal F}, P)$ such that $L^1(P)$ is separable (a condition which is often fulfilled) is endowed with a filtration $({\cal F}_t)$ satisfying the usual conditions. Then (extending ideas of Yan, see 925) it is shown that there exists a right continuous strictly increasing process $(O_t)$ such that every optional process is indistinguishable from a deterministic function $f(0_t)$, every previsible process from a deterministic function of $(0_{t-})$. Using the change of time associated with this process, previsible processes of the original filtration are time changed into deterministic processes, and the theory of stochastic integration is reduced to spectral integrals (as Stieltjes integration on the line can be reduced to Lebesgue's). A bounded previsible process $(u_t)$ define a bounded operator $U$ on $L^2$ as follows: starting from $h\in L^2$, construct the closed martingale $E[h|{\cal F}_t] =H_t$, and then $Uh=\int_0^\infty u_s dH_s$. Using the preceding results it is shown that the von Neumann algebra generated by the conditional expectation operators $E[\sc |{\cal F}_T]$ where $T$ is a stopping time consists exactly of these stochastic integral operators. On this point see also 1135

Comment: The last section states an interesting open problem

Keywords: Changes of time, Spectral representation

Nature: Original

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XII: 02, 20-21, LNM 649 (1978)

Une remarque sur les changements de temps et les martingales locales (Martingale theory)

It is well known (see 606) that in general the class of local martingales is not invariant under changes of time. Here it is shown that, if ${\cal F}_0$ is trivial, a process which remains a local martingale under all changes of time (with bounded stopping times) is a true martingale (in full generality, it is so conditionally to ${\cal F}_0$)

Keywords: Changes of time, Weak martingales

Nature: Original

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XII: 25, 364-377, LNM 649 (1978)

Les ralentissements en théorie générale des processus (General theory of processes)

Given a filtration $({\cal F}t)$ and a stopping time $T$, we may define a new filtration $({\cal G}_t)$ as follows: we introduce an independent random variable $S$, and in intuitive language, we run the picture of $({\cal F}_t)$ up to time $T$, freeze the image between times $T$ and $T+S$, and then start running it again. The main result of this paper is the possibility, by performing this at all the times of discontinuity of $({\cal F}_t)$, to construct a filtration $({\cal G}_t)$ which is quasi-left-continuous. Though the idea is simple, there are considerable technical difficulties

Nature: Original

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XIII: 07, 116-117, LNM 721 (1979)

Démonstration élémentaire d'un résultat d'Azéma et Jeulin (Martingale theory)

A short proof is given for the following result: given a positive supermartingale $X$ and $h>0$, the supermartingale $E[X_{t+h}\,|\,{\cal F}_t]$ belongs to the class (D). The original proof (

Keywords: Class (D) processes

Nature: Original

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XIII: 19, 233-237, LNM 721 (1979)

Sur la $p$-variation des surmartingales (Martingale theory)

The method of the preceding paper of Bruneau 1318 is extended to all right-continuous semimartingales

Keywords: $p$-variation, Upcrossings

Nature: Original

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XIII: 20, 238-239, LNM 721 (1979)

Une remarque sur l'exposé précédent (Martingale theory)

A few comments are added to the preceding paper 1319, concerning in particular its relationship with results of Lépingle,

Keywords: $p$-variation, Upcrossings

Nature: Original

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XIII: 40, 472-477, LNM 721 (1979)

Semimartingales et valeur absolue (General theory of processes)

For the general notation, see 1338. A result of Yoeurp that absolute values preserves quasimartingales is extended: convex functions satisfying a Lipschitz condition operate on quasimartingales. For $p\ge1$, $X\in H^p$ implies $|X|^p\in H^1$. Then it is shown that for a continuous adapted process $X$, it is equivalent to say that $X$ and $|X|$ are quasimartingales (or semimartingales). Then comes a result related to the main problem of this series: with the general notations above, if $X$ is assumed to be a quasimartingale such that $X_{D_t}=0$ for all $t$, if the process $Z$ is progressive and bounded, then the process $Z_{g_t}X_t$ is a quasimartingale

Comment: A complement is given in the next paper 1341. See also 1351

Keywords: Balayage, Quasimartingales

Nature: Original

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XIII: 41, 478-487, LNM 721 (1979)

Sur une formule de la théorie du balayage (General theory of processes)

For the notation, see the review of 1340. It is shown here that under the same hypotheses, the semimartingale $Z_{g_t}X_t$ is a sum of three terms: the stochastic integral $\int_0^t \zeta_s dX_s$, where $\zeta$ is the previsible projection of $Z$, an explicit sum of jumps involving $Z-\zeta$, and a mysterious continuous process with finite variation $(R_t)$ such that $dR_t$ is carried by $H$, equal to $0$ if $Z$ was optional

Comment: See 1351, 1357

Keywords: Balayage, Balayage formula

Nature: Original

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XIII: 51, 610-610, LNM 721 (1979)

Encore une remarque sur la ``formule de balayage'' (General theory of processes)

A slight extension of 1341

Keywords: Balayage

Nature: Original

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XIV: 10, 104-111, LNM 784 (1980)

Prolongement des semi-martingales (Stochastic calculus)

The problem consists in characterizing semimartingales on $]0,\infty[$ which can be ``closed at infinity'', and the similar problem at $0$. The criteria are similar to the Vitali-Hahn-Saks theorem and involve convergence in probability of suitable stochastic integrals. The proof rests on a functional analytic result of Maurey-Pisier

Keywords: Semimartingales, Semimartingales in an open interval

Nature: Original

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XIV: 11, 112-115, LNM 784 (1980)

Projection optionnelle des semi-martingales (Stochastic calculus)

Let $({\cal G}_t)$ be a subfiltration of $({\cal F}_t)$. Since the optional projection on $({\cal G}_t)$ of a ${\cal F}$-martingale is a ${\cal G}$-martingale, and the projection of an increasing process a ${\cal G}$-submartingale, projections of ${\cal F}$-semimartingales ``should be'' ${\cal G}$-semimartingales. This is true for quasimartingales, but false in general

Comment: The main results on subfiltrations are proved by Stricker in

Keywords: Semimartingales, Projection theorems

Nature: Original

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XIV: 15, 128-139, LNM 784 (1980)

Sur l'intégrale stochastique de processus prévisibles non bornés (Stochastic calculus)

The standard theory of stochastic integration deals with locally bounded previsible processes. The natural definition of the stochastic integral $H.X$ of a previsible process $H$ w.r.t. a semimartingale $X$ consists in assuming the existence of some decomposition $X=M+A$ such that $H.M$ exists in the martingale sense, and $H.A$ in the Stieltjes sense, and then defining $H.X$ as their sum. This turns out to be a very awkward definition. It is shown here to be equivalent to the following one: truncating $H$ at $n$, the standard stochastic integrals $H_n.X$ converge in the topology of semimartingales. This is clearly invariant under changes of law. A counterexample shows that integrability may be lost if the filtration is enlarged

Comment: See also 1417. This is a synthesis of earlier work, much of which is due to Jacod,

Keywords: Stochastic integrals

Nature: Exposition, Original additions

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XV: 31, 490-492, LNM 850 (1981)

Sur deux questions posées par Schwartz (Stochastic calculus)

Schwartz studied semimartingales in random open sets, and raised two questions: Given a semimartingale $X$ and a random open set $A$, 1) Assume $X$ is increasing in every subinterval of $A$; then is $X$ equal on $A$ to an increasing adapted process on the whole line? 2) Same statement with ``increasing'' replaced by ``continuous''. Schwartz could prove statement 1) assuming $X$ was continuous. It is proved here that 1) is false if $X$ is only cadlag, and that 2) is false in general, though it is true if $A$ is previsible, or only accessible

Keywords: Random sets, Semimartingales in a random open set

Nature: Original

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XV: 32, 493-498, LNM 850 (1981)

Quasi-martingales et variations (Martingale theory)

This paper contains remarks on quasimartingales, the most useful of which being perhaps the fact that, for a right-continuous process, the stochastic variation is the same with respect to the filtrations $({\cal F}_{t})$ and $({\cal F}_{t-})$

Keywords: Quasimartingales

Nature: Original

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XV: 33, 499-522, LNM 850 (1981)

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 inequality

Nature: Original

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XV: 34, 523-525, LNM 850 (1981)

Sur la caractérisation des semi-martingales (General theory of processes, Stochastic calculus)

This is a sequel to the preceding paper 1533, giving a simple proof that any semimartingale may be brought into any class ${\cal S}^p$ by a convenient change of probability

Keywords: Semimartingales, Spaces of semimartingales

Nature: Original

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XVI: 17, 213-218, LNM 920 (1982)

Temps d'arrêt riches et applications (General theory of processes)

This paper starts from the existence of increasing left-continuous processes $(A_t)$ which generate the previsible $\sigma$-field, i.e., every previsible process can be represented as $f(X_t)$ for some Borel function $f$ (see 1123), to prove the existence (discovered by the first named author) of ``rich'' stopping times $T$, i.e., previsible stopping times which encode the whole past up to time $T$: $\sigma(T)={\cal F}_{T-}$ (a few details are omitted here). This result leads to counterexamples: a non-reversible semimartingale (see the preceding paper 1616) and a stopping time $T$ for Brownian motion such that $L^a_T$ is not a semimartingale in its space variable $a$

Keywords: Stopping times, Local times, Semimartingales, Previsible processes

Nature: Original

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XVI: 18, 219-220, LNM 920 (1982)

Les intervalles de constance de $\langle X,X\rangle$ (Martingale theory, Stochastic calculus)

For a continuous (local) martingale $X$, the constancy intervals of $X$ and $<X,X>$ are exactly the same. What about general local martingales? It is proved that $X$ is constant on the constancy intervals of $<X,X>$, and the converse holds if $X$ has the previsible representation property

Keywords: Quadratic variation, Previsible representation

Nature: Original

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XVII: 29, 298-305, LNM 986 (1983)

Variation des processus mesurables

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XVII: 30, 306-310, LNM 986 (1983)

Sur un théorème de Talagrand

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XVIII: 11, 144-147, LNM 1059 (1984)

Approximation du crochet de certaines semimartingales continues

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XVIII: 12, 148-153, LNM 1059 (1984)

Caractérisation des semimartingales

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XIX: 14, 209-217, LNM 1123 (1985)

Lois de semimartingales et critères de compacité

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XIX: 15, 218-221, LNM 1123 (1985)

Une remarque sur une certaine classe de semimartingales

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XX: 04, 34-39, LNM 1204 (1986)

Sur le théorème de représentation par rapport à l'innovation

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XXII: 13, 144-146, LNM 1321 (1988)

À propos d'une conjecture de Meyer

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XXIV: 16, 266-274, LNM 1426 (1990)

Quelques remarques sur un théorème de Yan

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XXVII: 03, 22-29, LNM 1557 (1993)

Unicité et existence de la loi minimale

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XXVII: 04, 30-32, LNM 1557 (1993)

Décomposition de Kunita-Watanabe

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XXVIII: 18, 189-194, LNM 1583 (1994)

Fermeture de $G_T(\Theta)$ et de $L^2({\cal F}_0)+G_T(\Theta)$

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XXX: 02, 12-23, LNM 1626 (1996)

Deux applications de la décomposition de Galtchouk-Kunita-Watanabe

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XXXII: 06, 56-66, LNM 1686 (1998)

Some remarks on the optional decomposition theorem

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XXXII: 07, 67-72, LNM 1686 (1998)

Séparation d'une sur- et d'une sous-martingale par une martingale

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XXXV: 08, 139-148, LNM 1755 (2001)

On equivalent martingale measures with bounded densities

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XXXV: 09, 149-152, LNM 1755 (2001)

A teacher's note on no-arbitrage criteria

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XXXVI: 20, 413-414, LNM 1801 (2003)

On the true submartingale property, d'après Schachermayer

XXXVI: 21, 415-418, LNM 1801 (2003)

Simple strategies in exponential utility maximization

XXXVIII: 13, 186-194, LNM 1857 (2005)

Remarks on the true no-arbitrage property

XXXIX: 11, 209-213, LNM 1874 (2006)

The Dalang--Morton--Willinger theorem under delayed and restricted information

XLI: 21, 439-442, LNM 1934 (2008)

On martingale selectors of cone-valued processes (Theory of martingales)

Nature: Original