Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/288268 
Authors: 
Year of Publication: 
2020
Citation: 
[Journal:] Finance and Stochastics [ISSN:] 1432-1122 [Volume:] 24 [Issue:] 4 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2020 [Pages:] 827-870
Publisher: 
Springer, Berlin, Heidelberg
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 dual pairing of bounded continuous functions and Radon measures, that is, the dual pairing from 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 characterisation of the strongest topology on the Skorokhod space for which these results are true.
Subjects: 
Skorokhod space
Meyer–Zheng topology
JEL: 
C05
D30
B05
G05
C02
G13
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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