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On a dyadic approximation of predictable processes of finite variation


 
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1. Title Title of document On a dyadic approximation of predictable processes of finite variation
 
2. Creator Author's name, affiliation, country Pietro Siorpaes; University of Vienna; Austria
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) submartingale, compensator, predictable, stopping-time
 
3. Subject Subject classification 60G07; 60G40; 60G44
 
4. Description Abstract

We show that any càdlàg predictable process of finite variation is an a.s. limit of elementary predictable processes; it follows that predictable stopping times can be approximated "from below" by predictable stopping times which take finitely many values. We then obtain as corollaries two classical theorems: predictable stopping times are announceable, and an increasing process is predictable iff it is natural.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2014-04-15
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2972
 
10. Identifier Digital Object Identifier 10.1214/ECP.v19-2972
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 19
 
12. Language English=en en
 
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