On a property of joint terminal distributions of locally integrable increasing processes and their compensators

D. A. Borzykh
Theory of Stochastic Processes
Vol.23 (39), no.2, 2018, pp.7-20
In this paper we prove that a joint distribution of a locally integrable increasing process X^○ and its compensator A^○ at a terminal moment of time can be realized as a joint terminal distribution of another locally integrable increasing process X^★ and its compensator A^★, A^★ being continuous.