کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156541 958838 2014 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Measurability of semimartingale characteristics with respect to the probability law
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Measurability of semimartingale characteristics with respect to the probability law
چکیده انگلیسی

Given a càdlàg process XX on a filtered measurable space, we construct a version of its semimartingale characteristics which is measurable with respect to the underlying probability law. More precisely, let PsemPsem be the set of all probability measures PP under which XX is a semimartingale. We construct processes (BP,C,νP)(BP,C,νP) which are jointly measurable in time, space, and the probability law PP, and are versions of the semimartingale characteristics of XX under PP for each P∈PsemP∈Psem. This result gives a general and unifying answer to measurability questions that arise in the context of quasi-sure analysis and stochastic control under the weak formulation.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 124, Issue 11, November 2014, Pages 3819–3845
نویسندگان
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