Measurability of semimartingale characteristics with respect to the probability law

DOI10.1016/J.SPA.2014.07.006zbMATH Open1305.60031arXiv1312.1624OpenAlexW2007117584MaRDI QIDQ404599FDOQ404599

Marcel Nutz, Ariel Neufeld

Publication date: 4 September 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Given a c`adl`ag process $X$ on a filtered measurable space, we construct a version of its semimartingale characteristics which is measurable with respect to the underlying probability law. More precisely, let $mathfrak{P}_{sem}$ be the set of all probability measures $P$ under which $X$ is a semimartingale. We construct processes $(B^P,C,u^P)$ which are jointly measurable in time, space, and the probability law $P$, and are versions of the semimartingale characteristics of $X$ under $P$ for each $Pinmathfrak{P}_{sem}$. This result gives a general and unifying answer to measurability questions that arise in the context of quasi-sure analysis and stochastic control under the weak formulation.

Full work available at URL: https://arxiv.org/abs/1312.1624

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zbMATH Keywords

Doob-Meyer decompositionmeasurabilitysemimartingale characteristicssemimartingale property

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20)

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• Affine models with path-dependence under parameter uncertainty and their application in finance
• Duality theory for robust utility maximisation
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