Measurability of semimartingale characteristics with respect to the probability law
By Ariel Neufeld, Marcel Nutz. 2013
63 citations recorded by the source corpus.
Given a cadlag process X on a filtered measurable space, we construct a version of its semimartingale characteristics which is measurable with respect to the underlying probability law. More precisely, let Psem be the set of all probability measures P under which X is a semimartingale. We construct processes (BP,C,νP) which are jointly measurable in time, space, and the probability law P, and are versions of the semimartingale characteristics of X under P for each P∈Psem. This result gives a general and unifying answer to measurability questions that arise in the context of quasi-sure analysis and stochastic control under the weak formulation.
Subfields: Demography, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/66b829fb7f3bdf2bf135e3535f0c32e3502f968e
How researchers see this paper
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In Demography
- Marcel Nutz
- Ariel Neufeld
- Bruno Bouchard
- Sara Biagini
- Constantinos Kardaras
- Emmanuel Gobet
- Adrien Richou
- Shige Peng
In Finance
- Marcel Nutz
- Bruno Bouchard
- Ariel Neufeld
- Sara Biagini
- Constantinos Kardaras
- Daniel Bartl
- Nizar Touzi
- Xiaolu Tan
In Management Science and Operations Research
- Marcel Nutz
- Bruno Bouchard
- Ariel Neufeld
- Constantinos Kardaras
- Sara Biagini
- Daniel Bartl
- Xiaolu Tan
- Nicole El Karoui
Citations in the corpus
- ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES (2014, background): “…Moore–Penrose pseudoinverse of cS and define the G-predictable process H := { cSZ(cS)⊕ on [[0, ζ [[∩[[0,T]], 0 otherwise; 4That proposition does not use the separability assumptions on the filtration that are imposed for the main results of Neufeld and Nutz (2014). we show that H satisfies (5.1).”
- Nonlinear Lévy Processes and their Characteristics (2016, background): “Keywords Nonlinear Lévy process; Sublinear expectation; Partial integro-differential equation; Semimartingale characteristics; Knightian uncertainty AMS 2010 Subject Classification 60G51; 60G44; 93E20”
- Stochastic control for a class of nonlinear kernels and applications (2015, unknown): “(ii) Finally, using Proposition 5.1 of Neufeld and Nutz [60], we can then construct a process H P t ( ω ) satisfying the required conditions.”