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XV: 47, 671-672, LNM 850 (1981)
BAKRY, Dominique
Une remarque sur les semi-martingales à deux indices (Several parameter processes)
Let $({\cal F}^1_s)$ and $({\cal F}^2_t)$ be two filtrations whose conditional expectations commute. Let $(A_t)$ be a bounded increasing process adapted to $({\cal F}^2_t)$. It had been proved under stringent absolute continuity conditions on $A$ that the process $X_{st}=E[A_t\,|\,{\cal F}^1_s]$ was a semimartingale (a stochastic integrator). A counterexample is given here to show that this is not true in general
Keywords: Two-parameter semimartingales
Nature: Original
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