On the variation distance for probability measures defined on a filtered space (Q760083): Difference between revisions

We study distance in variation between probability measures defined on a measurable space (\(\Omega\),\({\mathcal F})\) with right-continuous filtration (\({\mathcal F}_ t)_{t\leq \theta}\). To every pair of probability measures P and \(\tilde P\) is associated an increasing predictable process \(h=h(P,\tilde P)\) (called the Hellinger process). For the variation distance \(\| P_ T-\tilde P_ T\|\) between the restrictions of P and \(\tilde P\) to \({\mathcal F}_ T\) (T is a stopping time), lower and upper bounds are obtained in terms of h. For example, in the case when \(P_ o=\tilde P_ 0,\) \[ 2(1-(E \exp (-h_ T))^{1/2})\leq \| P_ T- \tilde P_ T\| \leq 4(Eh_ T)^{1/2}. \] In the case where P and \(\tilde P\) are distributions of multivariate point processes, diffusion- type processes or semimartingales h are expressed explicitly in terms of given predictable characteristics.