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Different Types of Structure Conditions of Semimartingale with Jacod Decomposition

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Date
2022
Author
Mwigilwa, Winfrida
Aduda, Jane
Le Doux Mbele, Bidima Martin
Kube, Ananda
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Abstract
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.
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http://ir-library.ku.ac.ke/handle/123456789/25723
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  • RP-Department of Mathematics [115]

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