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Chapter 11 PRocess is left continuous and adapted then the process is martingale

Steven Shreve’s Book 2 Pg 477 Topic Theorem 11.4.5 Left continuous and adapted

Dear experts,

This post is regarding a theorem in Chapter 11: Jump process and their integrals.

Theorem 11.4.5 in page 477

My Phd Sir and I could not find any material which details the proof for the above theorem.

For the theorems after this topic, I have just assumed to be true and have written steps.

Well, I do not agree with the above approach. But in order to ensure I complete writing my notes, I had to take the approach.

Can anyone in this forum either point to a book or any material, which helps me writing the proof for the above theorem.

Looking forward for your support.

Thank you


  • Steven Shreve’s Book 2 Pg 477 Topic Theorem 11.4.5 Left continuous and adapted.docx
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If memory serves, a proof is given in Revuz and Yor's "Continuous Martingales and Brownian Motion".
Thank you Qui-Gon for your prompt response.

It is available in Amazon India, priced at USD 125 circa.

Can I make a small request, are you able to check it once, if the proof for the theorem is available in the book. Hope I am demanding too much for this forum.

My Phd sir mentioned that the other contents look interesting.

I have no problem with making this purchase. But before that I want to reach out and seek your help that the book will help me write the proof for the theorem.

My email id is kotadp-mfe@yahoo.com

If you have any other material and do not hesitate to share, kindly email me.

Thank you once again for your guidance.