Synonymity, generalized martingales, and subfiltrations (Q797213): Difference between revisions
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Latest revision as of 19:32, 19 March 2024
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English | Synonymity, generalized martingales, and subfiltrations |
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Synonymity, generalized martingales, and subfiltrations (English)
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1984
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The notion of synonymity of two processes X and Y refines the notion of ''X and Y having the same law'' by taking into account the relation of the processes to their underlying filtrations. Synonymity was introduced by \textit{D. J. Aldous} [Ecole d'Été de Saint-Flour 1983, to appear in Lect. Notes Math.] and further investigated by the author and \textit{H. J. Keisler} [Adapted probability distributions. Trans. Am. Math. Soc. 286, 159-201 (1984)]. In this paper the author shows that generalized martingale properties, such as the semimartingale property, are preserved under synonymity, and that synonymous semimartingales have decompositions with the same distribution law. [For interesting applications of synonymity to stochastic differential equations see the author and \textit{E. Perkins}, Nonstandard construction of the stochastic integral and applications to stochastic differential equations I,II, ibid. 275, 1-58 (1983)]. Furthermore the author gives a relatively elementary proof of the theorem (due to C. Stricker) that a semimartingale remains a semimartingale with respect to any subfiltration to which it is adapted.
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synonymity
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semimartingale
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decompositions
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