English

Semimartingales and Shrinkage of Filtration

Probability 2019-11-21 v3

Abstract

We consider a complete probability space (Ω,F,P)(\Omega,\mathcal{F},\mathbb{P}), which is endowed with two filtrations, G\mathbb{G} and F\mathbb{F}, assumed to satisfy the usual conditions and such that FG\mathbb{F} \subset \mathbb{G}. On this probability space we consider a real valued special G\mathbb{G}-semimartingale XX. The purpose of this work is to study the following two problems: A. If XX is F\mathbb{F}-adapted, compute the F\mathbb{F}-semimartingale characteristics of XX in terms of the G\mathbb{G}-semimartingale characteristics of XX. B. If XX is not F\mathbb{F}-adapted, given that the F\mathbb{F}-optional projection of XX is a special semimartingale, compute the F\mathbb{F}-semimartingale characteristics of F\mathbb{F}-optional projection of XX in terms of the G\mathbb{G}-canonical decomposition and G\mathbb{G}-semimartingale characteristics of XX.

Keywords

Cite

@article{arxiv.1803.03700,
  title  = {Semimartingales and Shrinkage of Filtration},
  author = {Tomasz R. Bielecki and Jacek Jakubowski and Monique Jeanblanc and Mariusz Niewęgłowski},
  journal= {arXiv preprint arXiv:1803.03700},
  year   = {2019}
}