Measurability of semimartingale characteristics with respect to the probability law (Q404599): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
Property / review text | |||
The authors study the measurability of semimartingale characteristics with respect to the probability law. Given a càdlàg process \(X\) on a filtered measurable space, a version of its semimartingale characteristics is constructed which is measurable with respect to the underlying probability law. The importance of the problem is motivated by some applications. For instance, when considering a standard stochastic control problem based on a controlled stochastic differential equation, it is useful to recast the problem on the Skorokhod space by taking the set of semimartingale laws to be the set of all laws of solutions of the controlled equation. The construction of the triplet of measurable characteristics proceeds through versions of the classical results on the structure of semimartingales, such as the Doob-Meyer theorem, with an additional measurable dependence on the probability law. The main result states that the set of all semimartingale laws is Borel-measurable and that there exists a Borel-measurable map that leads to the semimartingale with measurable characteristics. | |||
Property / review text: The authors study the measurability of semimartingale characteristics with respect to the probability law. Given a càdlàg process \(X\) on a filtered measurable space, a version of its semimartingale characteristics is constructed which is measurable with respect to the underlying probability law. The importance of the problem is motivated by some applications. For instance, when considering a standard stochastic control problem based on a controlled stochastic differential equation, it is useful to recast the problem on the Skorokhod space by taking the set of semimartingale laws to be the set of all laws of solutions of the controlled equation. The construction of the triplet of measurable characteristics proceeds through versions of the classical results on the structure of semimartingales, such as the Doob-Meyer theorem, with an additional measurable dependence on the probability law. The main result states that the set of all semimartingale laws is Borel-measurable and that there exists a Borel-measurable map that leads to the semimartingale with measurable characteristics. / rank | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Yuliya S. Mishura / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G44 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G48 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 93E20 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6339814 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
semimartingale characteristics | |||
Property / zbMATH Keywords: semimartingale characteristics / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
measurability | |||
Property / zbMATH Keywords: measurability / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
semimartingale property | |||
Property / zbMATH Keywords: semimartingale property / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Doob-Meyer decomposition | |||
Property / zbMATH Keywords: Doob-Meyer decomposition / rank | |||
Normal rank |
Revision as of 17:10, 29 June 2023
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Measurability of semimartingale characteristics with respect to the probability law |
scientific article |
Statements
Measurability of semimartingale characteristics with respect to the probability law (English)
0 references
4 September 2014
0 references
The authors study the measurability of semimartingale characteristics with respect to the probability law. Given a càdlàg process \(X\) on a filtered measurable space, a version of its semimartingale characteristics is constructed which is measurable with respect to the underlying probability law. The importance of the problem is motivated by some applications. For instance, when considering a standard stochastic control problem based on a controlled stochastic differential equation, it is useful to recast the problem on the Skorokhod space by taking the set of semimartingale laws to be the set of all laws of solutions of the controlled equation. The construction of the triplet of measurable characteristics proceeds through versions of the classical results on the structure of semimartingales, such as the Doob-Meyer theorem, with an additional measurable dependence on the probability law. The main result states that the set of all semimartingale laws is Borel-measurable and that there exists a Borel-measurable map that leads to the semimartingale with measurable characteristics.
0 references
semimartingale characteristics
0 references
measurability
0 references
semimartingale property
0 references
Doob-Meyer decomposition
0 references