 Initial-value integrability in normalized semimartingale decompositions

With the local martingale definition requiring each stopped process itself to be a martingale, the initial value is integrable. A normalized continuous semimartingale decomposition $X=M+A$ with $A_0=0$ can therefore have a local-martingale part only if $X_0$ is integrable. A smooth transformation need not preserve this condition: take $M=0$, $A_t=G$ for an initially known standard normal random variable, and $f(x,a)=e^{a^2}$. Then $f(M_0,A_0)$ is finite almost surely but has infinite expectation. The always-valid decomposition is instead $X=X_0+N+V$ with a zero-starting continuous local martingale $N$ and a continuous finite-variation process $V$ starting at zero.