Different Types of Structure Conditions of Semimartingale with Jacod Decomposition

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dc.contributor.authorMwigilwa, Winfrida
dc.contributor.authorAduda, Jane
dc.contributor.authorLe Doux Mbele, Bidima Martin
dc.contributor.authorKube, Ananda
dc.date.accessioned2023-06-08T13:07:40Z
dc.date.available2023-06-08T13:07:40Z
dc.date.issued2022
dc.descriptionresearch articleen_US
dc.description.abstractThe 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.en_US
dc.identifier.citationMwigilwa, W., Aduda, J., Mbele, B.M.L.D. and Kube, A. (2022) Different Types of Structure Conditions of Semimartingale with Jacod Decomposition. Journal of Mathematical Finance , 12, 367-381. https://doi.org/10.4236/jmf.2022.122021en_US
dc.identifier.issn2162-2442
dc.identifier.urihttp://ir-library.ku.ac.ke/handle/123456789/25723
dc.language.isoenen_US
dc.publisherScientific Research Publishing Incen_US
dc.subjectStructure Condition (SC)en_US
dc.subjectMinimal Structure Condition (MSC)en_US
dc.subjectNatural Structure Condition (NSC)en_US
dc.subjectJacod Decompositionen_US
dc.titleDifferent Types of Structure Conditions of Semimartingale with Jacod Decompositionen_US
dc.typeArticleen_US
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