Abstract
We give an example of an adapted, càdlàg process H and a martingale M such that a “stochastic integral” process ∫ t0 H s dM s makes sense but is not a semimartingale. This answers a question of Ruth Williams.
Supported in part by NSF Grant #DMS-9103454
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© 1994 Springer-Verlag
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Ahn, H., Protter, P. (1994). A remark on stochastic integration. In: Azéma, J., Yor, M., Meyer, P.A. (eds) Séminaire de Probabilités XXVIII. Lecture Notes in Mathematics, vol 1583. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0073854
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DOI: https://doi.org/10.1007/BFb0073854
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