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
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
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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
Journal: Stochastic Processes and their Applications - Volume 124, Issue 11, November 2014, Pages 3819–3845
نویسندگان
Ariel Neufeld, Marcel Nutz,