Information processes for semimartingale experiments
Dzhaparidze, Kacha ; Spreij, Peter ; Valkeila, Esko
Ann. Probab., Tome 31 (2003) no. 1, p. 216-243 / Harvested from Project Euclid
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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.
Publié le : 2003-01-14
Classification:  Kullback--Leibler information,  Hellinger process,  posterior distribution,  semimartingales,  predictable characteristics,  stochastic calculus,  fractional Brownian motion,  60G07,  60H30,  62B15,  94A17 
@article{1046294310,
     author = {Dzhaparidze, Kacha and Spreij, Peter and Valkeila, Esko},
     title = {Information processes for semimartingale experiments},
     journal = {Ann. Probab.},
     volume = {31},
     number = {1},
     year = {2003},
     pages = { 216-243},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1046294310}
}

Dzhaparidze, Kacha; Spreij, Peter; Valkeila, Esko. Information processes for semimartingale experiments. Ann. Probab., Tome 31 (2003) no. 1, pp.  216-243. http://gdmltest.u-ga.fr/item/1046294310/