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Teoriya Veroyatnostei i ee Primeneniya, 1993, Volume 38, Issue 3, Pages 491–502
(Mi tvp3961)
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Semimartingales of processes with independent increments and enlargement of filtration
L. I. Gal'chuk Département de Mathématiques, Université de Strasbourg, Strasbourg, France
Abstract:
Let $X$ be a process with independent increments, $\mathcal{F} = (\mathcal{F}_t )$, $0 \le t \le T, \mathcal{F} = \sigma (X_s ,s \le t)$ a natural filtration. Denote
$$
G_t = \sigma \{ {X_s ,s \le t; X^c ( T ); p\{ ] {0;T} ]; A \in \mathcal{B} \}} \},\qquad t \le T,
$$
where ${X^c }$ is a continuous martingale component, ${p\{ { ] {0;T} ]; A \in \mathcal{B}}\}}$ is the integer-valued Poisson measure generated by ${X,\mathcal{B}}$ is the Borel $\sigma $-algebra. The paper discusses conditions under which any process $Y$ being a semimartingale with respect to filtration $F$ is also a semimartingale with respect to filtration $G$.
Keywords:
processes with independent increments, semimartingales, extension of a filtration flow.
Received: 21.05.1990
Citation:
L. I. Gal'chuk, “Semimartingales of processes with independent increments and enlargement of filtration”, Teor. Veroyatnost. i Primenen., 38:3 (1993), 491–502; Theory Probab. Appl., 38:3 (1993), 395–404
Linking options:
https://www.mathnet.ru/eng/tvp3961 https://www.mathnet.ru/eng/tvp/v38/i3/p491
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Abstract page: | 188 | Full-text PDF : | 94 | First page: | 5 |
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