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- W2949244219 abstract "Given a c`adl`ag 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 $mathfrak{P}_{sem}$ be the set of all probability measures $P$ under which $X$ is a semimartingale. We construct processes $(B^P,C,nu^P)$ 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 $Pinmathfrak{P}_{sem}$. 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.
- W2949244219 created "2019-06-27" @default.
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- W2949244219 date "2013-12-05" @default.
- W2949244219 modified "2023-09-27" @default.
- W2949244219 title "Measurability of Semimartingale Characteristics with Respect to the Probability Law" @default.
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