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I have deleted the following sentence: "There are more general versions with applications including the theory of stochastic differential equations." The article of
Taraldsen has not been published in the last four years and has been cited only three times, all in an incidental and unimportant way.
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The deleted sentence incorrectly states that it is used in the latter paper; all that paper says is that
Taraldsen's paper has some related work. They use the standard Doob-Dynkin lemma.
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