Semimartingales and Shrinkage of Filtration
Résumé
We consider a complete probability space (Ω, F, P), which is endowed with two fitrations, G and F, assumed to satisfy the usual conditions and such that F ⊂ G. On this probability space we consider a real valued special G-semimartingale X. The results can be generalized to the case of R^n valued special semimartingales, in a straightforward manner. We fix a truncation function with respect to which the semimartingale characteristics are computed.
The purpose of this work is to study the following two problems:
A. If X is F-adapted, compute the F-semimartingale characteristics of X in terms of the G-semimartingale characteristics of X.
B. If X is not F-adapted, given that the F-optional projection of X is a special semimartingale, compute the F-semimartingale characteristics of F-optional projection of X in terms of the G-canonical decomposition and G-semimartingale characteristics of X.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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