Measurability of semimartingale characteristics with respect to the probability law (Q404599)

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.