文章基本信息

标题：Different Types of Structure Conditions of Semimartingale with Jacod Decomposition
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作者：Winfrida Mwigilwa ; Jane Aduda ; Bidima Martin Le Doux Mbele 等
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