The Riesz representation theorem and weak^* compactness of semimartingales

2017/07/28 by Kiiski, Matti
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1707.09382

Abstract

We show that the sequential closure of a family of probability measures on the canonical space of càdlàg paths satisfying Stricker's uniform tightness condition is a weak^* compact set of semimartingale measures in the pairing of the Riesz representation theorem under topological assumptions on the path space. Similar results are obtained for quasi- and supermartingales under analogous conditions. In particular, we give a full characterization of the strongest topology on the Skorokhod space for which these results are true.

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