Semimartingales and Shrinkage of Filtration
Probability
2019-11-21 v3
Abstract
We consider a complete probability space , which is endowed with two filtrations, and , assumed to satisfy the usual conditions and such that . On this probability space we consider a real valued special -semimartingale . The purpose of this work is to study the following two problems: A. If is -adapted, compute the -semimartingale characteristics of in terms of the -semimartingale characteristics of . B. If is not -adapted, given that the -optional projection of is a special semimartingale, compute the -semimartingale characteristics of -optional projection of in terms of the -canonical decomposition and -semimartingale characteristics of .
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}
}