A Simple Proof of the Bichteler-Dellacherie Theorem
arXiv:1201.1996
Abstract
We give a simple and rather elementary proof of the celebrated Bichteler-Dellacherie-Mokobodzki Theorem, which states that a process S is a good integrator if and only if it is a semimartingale. As a corollary, we obtain a characterization of semimartingales along the lines of classical Riemann integrability.
version 5. Applied minor changes, mostly in Lemma 5.1, which should now be clearer