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XII: 08, 57-60, LNM 649 (1978)
MEYER, Paul-André
Sur un théorème de J. Jacod (General theory of processes)
Consider a given process $X$ adapted to a given filtration $({\cal F}_t)$. The set of laws of semimartingales consists of those laws $P$ under which $X$ is a semimartingale with respect to $({\cal F}_t)$ suitably completed. Jacod proved that the set of laws of semimartingales is convex. This is extended here to countable convex combinations, and to integrals
Comment: This easy paper has some historical interest, as it raised the problem of initial enlargement of a filtration
Keywords: Semimartingales, Enlargement of filtrations, Laws of semimartingales
Nature: Original
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