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 Retrieve article from Numdam
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