On the perturbation problem for occupation densities (Q1315399)
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English | On the perturbation problem for occupation densities |
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On the perturbation problem for occupation densities (English)
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19 January 1995
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Let \(X\) be a continuous semimartingale. There is considered \(X\) perturbed by a process \(V\) possibly anticipating. If \(V\) is not adapted, the process \(X+V\) is not a semimartingale. But under some smoothness conditions on \(V\) it is proved that \(X+V\) possesses the occupation densities \(L(V,.,.)\). There are given sufficient conditions for the continuity of the obtained occupation densities \(L(V,y,t)\) in \((y,t)\). They are the same as in the classical case of martingales perturbed by an adapted process of bounded variation.
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semimartingale
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occupation densities
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conditions for continuity of the obtained occupation densities
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process of bounded variation
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