ABSOLUTELY CONTINUOUS COMPENSATORS

Svante Janson, Sokhna M'Baye and Philip Protter
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Svante Janson: Uppsala University, Department of Mathematics, P.O. Box 480, SE-751 06 Uppsala, Sweden
Sokhna M'Baye: Département de de Mathématiques, École Normale Supérieure de Cachan, 61 Avenue du Président Wilson, 94235 Cachan Cedex, France
Philip Protter: Statistics Department, Columbia University, New York, NY 10027, USA

Chapter 19 in Finance at Fields, 2012, pp 433-449 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWe give sufficient conditions on the underlying filtration such that all totally inaccessible stopping times have compensators which are absolutely continuous. If a semimartingale, strong Markov process X has a representation as a solution of a stochastic differential equation driven by a Wiener process, Lebesgue measure, and a Poisson random measure, then all compensators of totally inaccessible stopping times are absolutely continuous with respect to the minimal filtration generated by X. However Çinlar and Jacod have shown that all semimartingale strong Markov processes, up to a change of time and slightly of space, have such a representation.

Keywords: Mathematical Finance; Financial Mathematics; Risk Management; Asset Pricing; Computational Finance; Derivatives; Option Pricing; Portfolio Optimization (search for similar items in EconPapers)
Date: 2012
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