XIV: 11, 112-115, LNM 784 (1980)
STRICKER, Christophe
Projection optionnelle des semi-martingales (
Stochastic calculus)
Let $({\cal G}_t)$ be a subfiltration of $({\cal F}_t)$. Since the optional projection on $({\cal G}_t)$ of a ${\cal F}$-martingale is a ${\cal G}$-martingale, and the projection of an increasing process a ${\cal G}$-submartingale, projections of ${\cal F}$-semimartingales ``should be'' ${\cal G}$-semimartingales. This is true for quasimartingales, but false in general
Comment: The main results on subfiltrations are proved by Stricker in
Zeit. für W-Theorie, 39, 1977
Keywords: Semimartingales,
Projection theoremsNature: Original
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