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WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 12, Fasc. 2,
pages 165 - 200
 

SEMIMARTINGALE INTEGRALS VIA DECOUPLING INEQUALITIES AND TANGENT PROCESSES

Stanisław Kwapień
Wojbor A. Woyczyński

Abstract: A previsible process F is integrable with respect to a semimartingale X if and only if F belongs to a randomized Musielak-Orlicz space L , f(w) where f is explicitly expressed in terms of the Grigelionis characteristics of X. Decoupling inequalities and tangent processes are the main tool used in the proof.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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