I am reading the article given in http://link.springer.com/chapter/10.1007/978-1-4614-5906-4_24#page-1. I have the following two questions:
In which setting does one define improper integrals with respect to Brownian motion?
In the second page, I do not understand why it is said that the process $r$ is not a semimartingale if $g'\notin L^2((0, \infty))$. Is it related to a theorem called Knight's theorem?
Any help will be appreciated.
