SEMIMARTINGALE INTEGRALS VIA DECOUPLING INEQUALITIES
AND TANGENT PROCESSES
Stanisław Kwapień
Wojbor A. Woyczyński
Abstract: A previsible process
is integrable with respect to a semimartingale
if and
only if
belongs to a randomized Musielak-Orlicz space
where
is explicitly
expressed in terms of the Grigelionis characteristics of
Decoupling inequalities and
tangent processes are the main tool used in the proof.
2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;
Key words and phrases: -