On the construction of conditional probability densities in the Brownian and compound Poisson filtrations

DOI10.1051/ps/2023022MaRDI QIDQ6617084

Monique Jeanblanc-Picqué, Pavel V. Gapeev

Publication date: 10 October 2024

Published in: European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

Brownian motionsupermartingalesstochastic differential equationscompound Poisson processJacod's equivalence hypothesisconditional probability density process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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