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Regular version of the site

Article

On possible relations between an increasing process and its compensator in the non-integrable case

Russian Mathematical Surveys. 2018. Vol. 73. No. 5. P. 928-930.

We prove that any distribution on the positive half-line with infinite expectation can be a distribution of the terminal value of an increasing process such that the difference between the terminal values of its compensator and the increasing process itself is 1.