On a dyadic approximation of predictable processes of finite variation

Pietro Siorpaes (University of Vienna)

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.


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Pages: 1-12

Publication Date: April 15, 2014

DOI: 10.1214/ECP.v19-2972

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