Is there a predictable criterion for mutual singularity of two probability measures on a filtered space?

Walter Schachermayer, Werner Schachinger

Publikation: Working/Discussion PaperWU Working Paper

Abstract

The theme of providing predictable criteria for absolute continuity and for mutual singularity of two density processes on a filtered probability space is extensively studied, e.g., in the monograph by J. Jacod and A. N. Shiryaev [JS]. While the issue of absolute continuity is settled there in full generality, for the issue of mutual singularity one technical difficulty remained open ([JS], p210): "We do not know whether it is possible to derive a predictable criterion (necessary and sufficient condition) for "P'T..." (expression not representable in this abstract). It turns out that to this question raised in [JS] which we also chose as the title of this note, there are two answers: on the negative side we give an easy example, showing that in general the answer is no, even when we use a rather wide interpretation of the concept of "predictable criterion". The difficulty comes from the fact that the density process of a probability measure P with respect to another measure P' may suddenly jump to zero. On the positive side we can characterize the set, where P' becomes singular with respect to P - provided this does not happen in a sudden but rather in a continuous way - as the set where the Hellinger process diverges, which certainly is a "predictable criterion". This theorem extends results in the book of J. Jacod and A. N. Shiryaev [JS]. (author's abstract)
OriginalspracheEnglisch
ErscheinungsortVienna
HerausgeberSFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
PublikationsstatusVeröffentlicht - 1999

Publikationsreihe

NameWorking Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
Nr.26

WU Working Paper Reihe

  • Working Papers SFB \Adaptive Information Systems and Modelling in Economics and Management Science\

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