Information processes for semimartingale experiments

• Kacha Dzhaparidze ^[3] ; Peter Spreij ^[1] ; Esko Valkeila ^[2]
  1. [1] University of Amsterdam

     University of Amsterdam

     Países Bajos

     
  2. [2] University of Helsinki

     University of Helsinki

     Helsinki, Finlandia

     
  3. [3] CWI Amsterdam

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• Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 31, Nº. 1, 2003, págs. 216-243
• Idioma: inglés
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• Resumen

  • In this paper we give explicit representations for Kullback--Leibler information numbers between a priori and a posteriori distributions, when the observations come from a semimartingale. We assume that the distribution of the observed semimartingale is described in terms of the so-called triplet of predictable characteristics. We end by considering the corresponding notions in a model with a fractional noise.