On Jump Measures of Optional Processes with Regulated Trajectories

Frank Oertel

On Jump Measures of Optional Processes with Regulated Trajectories

Probability 2015-08-11 v1

Authors: Frank Oertel

Abstract

Starting from an iterative and hence numerically easily implementable representation of the thin set of jumps of a c\`{a}dl\`{a}g adapted stochastic process $X$ (including a few applications to the integration with respect to the jump measure of $X$ ), we develop similar representation techniques to describe the set of jumps of optional processes with regulated trajectories and introduce their induced jump measures with a view towards the framework of enlarged filtration in financial mathematics.

Keywords

jump measures optional processes regulated trajectories càdlàg processes enlarged filtration stochastic integration financial mathematics

Cite

@article{arxiv.1508.01973,
  title  = {On Jump Measures of Optional Processes with Regulated Trajectories},
  author = {Frank Oertel},
  journal= {arXiv preprint arXiv:1508.01973},
  year   = {2015}
}

Comments

arXiv admin note: text overlap with arXiv:math/0609395

On Jump Measures of Optional Processes with Regulated Trajectories

Abstract

Keywords

Cite

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