A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage

DOI10.1214/10-AOP602zbMath1232.60028arXiv1004.5559MaRDI QIDQ653308

Mathias Beiglböck, Walter Schachermayer, Bezirgen Veliyev

Publication date: 9 January 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.5559

zbMATH Keywords

Doob-Meyer decompositionarbitrageKomlós' lemmaBichteler-Dellacherie theorem

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic integrals (60H05) Foundations of stochastic processes (60G05)

Related Items (10)

On infinitely divisible semimartingales ⋮ Riemann-integration and a new proof of the Bichteler-Dellacherie theorem ⋮ Modeling Capital Gains Taxes for Trading Strategies of Infinite Variation ⋮ On the closure in the emery topology of semimartingale wealth-process sets ⋮ Semimartingale price systems in models with transaction costs beyond efficient friction ⋮ Measurability of semimartingale characteristics with respect to the probability law ⋮ A strong law of large numbers for positive random variables ⋮ Characterization of submartingales of a new class (Σ^r) ⋮ Continuous-time trading and the emergence of probability ⋮ Properly discounted asset prices are semimartingales

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the semimartingale property of discounted asset-price processes
• Un survol de la théorie de l'intégrale stochastique
• Stochastic integration and \(L^ p-\)theory of semimartingales
• A general version of the fundamental theorem of asset pricing
• Stochastic integrators
• The Doob-Meyer Decomposition Revisited
• On Square Integrable Martingales
• On Decomposition Theorems of Meyer.
• A generalization of a problem of Steinhaus
• Stochastic integral

This page was built for publication: A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage