The original post is from mathstackexchange According to some difficulties, i decided to ask here again.
Given a filtered space $(\Omega, F,\mathcal{F}_{t})$ with rightcontinous filtration. We have a class of probability measures $P=\{P_{\theta}:\theta \in \Theta\}$ definied on the filtered space.
We assume there exists a $\sigma$-finite measure $\mu$ on $(\Omega,\mathcal{F})$, which locally dominates $P$:
\begin{align*} P_{\theta}^{t}<<\mu^{t} \end{align*}
where $P_{\theta}^{t},\mu^{t}$ is the restriction of our measures $P_{\theta},\mu$ to $\mathcal{F}_{t}$. Then we assume the Radon-Nikodym-Derivative of $P_{\theta}^{t}$ w.r.t $\mu^{t}$ are of the form \begin{align*} \frac{dP_{\theta}^{t}}{d\mu^{t}}=e^{<\gamma_{t}(\theta),B_{t}>+\phi_{t}(\theta)}\quad \theta \in \Theta,t\geq 0 \end{align*} Note due to the defintion the derivatives are $\mathcal{F}_{t}$-Martingales. We consider the right continuous modification. So according to the functions we have: Here $\gamma_{t}(\theta)$ is a $m$-dimensional real valued function of $\theta$ and $t$ which is RCLL (cadlag) function with respect to $t$.
For $\phi_{t}(\theta)$ we have the same, but just 1-dimensional. Both non-random.
$B_{t}$ is a $m$-dimensional real valued $\mathcal{F}_{t}$-adapted RCLL (cadlag) random-process.
This respresentation of the Radon-Nikodm-Derivative is not unique: for example take $\tilde{\gamma_{t}}=\frac{1}{2}\gamma_{t}$ and $\tilde{B_{t}}=2B_{t}$.
Now it is stated: It is always possible to find a respresentation of the latter form, such that $B$ is a semimartingale. Why?
I know that an adapted, cadlag (RCLL) process with finite variation on compact sets is a semimartingale. But do i need the finite variation constraint here?
EDIT: We can also assume, that all moments of $B_{t}$ exists under $P_{\theta}^{t}$, if this helps.
EDIT: one can show, that $\dot{\gamma}_{t}(\theta)^{T}B_{t}-\dot{\phi}_{t}(\theta)$ is a $P_{\theta}$ square integrable zero mean martingale with cadlag paths. Thus its a semimartingale. Could this help me, for getting a semimartingale $\tilde{B}$?
Edit: May one admin delete the first post from here, which was posted from my "non"-registered Account. I decided to repost, so i have all my posts done in one profile.
