Synonymity, generalized martingales, and subfiltrations
type: Item
instance of: scholarly article
title: Synonymity, generalized martingales, and subfiltrations
zbMATH Open document ID: 0545.60040
author: Douglas N. Hoover
published in: The Annals of Probability
publication date: 1984-01-01T00:00:00Z
review text: The notion of synonymity of two processes X and Y refines the notion of ''X and Y having the same law'' by taking into account the relation of the processes to their underlying filtrations. Synonymity was introduced by \textit{D. J. Aldous} [Ecole d'Été de Saint-Flour 1983, to appear in Lect. Notes Math.] and further investigated by the author and \textit{H. J. Keisler} [Adapted probability distributions. Trans. Am. Math. Soc. 286, 159-201 (1984)]. In this paper the author shows that generalized martingale properties, such as the semimartingale property, are preserved under synonymity, and that synonymous semimartingales have decompositions with the same distribution law. [For interesting applications of synonymity to stochastic differential equations see the author and \textit{E. Perkins}, Nonstandard construction of the stochastic integral and applications to stochastic differential equations I,II, ibid. 275, 1-58 (1983)]. Furthermore the author gives a relatively elementary proof of the theorem (due to C. Stricker) that a semimartingale remains a semimartingale with respect to any subfiltration to which it is adapted.
reviewed by: M.Dozzi
Mathematics Subject Classification ID: 60G07
Mathematics Subject Classification ID: 60G48
zbMATH DE Number: 3868340
zbMATH Keywords: synonymity
zbMATH Keywords: semimartingale
zbMATH Keywords: decompositions
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aop/1176993221
OpenAlex ID: W1980761066
DOI: 10.1214/AOP/1176993221
description: scientific article; zbMATH DE number 3868340