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  • 标题:Different Types of Structure Conditions of Semimartingale with Jacod Decomposition
  • 本地全文:下载
  • 作者:Winfrida Mwigilwa ; Jane Aduda ; Bidima Martin Le Doux Mbele
  • 期刊名称:Journal of Mathematical Finance
  • 印刷版ISSN:2162-2434
  • 电子版ISSN:2162-2442
  • 出版年度:2022
  • 卷号:12
  • 期号:2
  • 页码:367-381
  • DOI:10.4236/jmf.2022.122021
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:The objective of this article is to use Jacod decomposition to develop different types of semimartingale structure conditions. We make the following contributions to that end: When a continuous semimartingale meets the structure condition (SC), we prove that there is a minimal martingale density and a predictable variation part. When a special semimartingale meets the minimal structure condition (MSC) and the natural structure condition (NSC), we derive a Radon-Nikodym decomposition and a Natural Kunita-Watanabe decomposition from a given sigma martingale density, which is written under the Jacod decomposition.
  • 关键词:Structure Condition (SC)Minimal Structure Condition (MSC)Natural Struc-ture Condition (NSC)Jacod Decomposition
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