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- W2007117584 abstract "Given a càdlàg 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 Psem be the set of all probability measures P under which X is a semimartingale. We construct processes (BP,C,νP) 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 P∈Psem. 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." @default.
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- W2007117584 date "2014-11-01" @default.
- W2007117584 modified "2023-09-29" @default.
- W2007117584 title "Measurability of semimartingale characteristics with respect to the probability law" @default.
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- W2007117584 doi "https://doi.org/10.1016/j.spa.2014.07.006" @default.
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