Information processes for semimartingale experiments
Kacha Dzhaparidze, Peter Spreij, and Esko Valkeila
Source: Ann. Probab. Volume 31, Number 1 (2003), 216-243.
Abstract
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.
Primary Subjects: 60G07, 60H30, 62B15, 94A17
Keywords: Kullback--Leibler information; Hellinger process; posterior distribution; semimartingales; predictable characteristics; stochastic calculus; fractional Brownian motion
Full-text: Open access
Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aop/1046294310
Digital Object Identifier: doi:10.1214/aop/1046294310
Mathematical Reviews number (MathSciNet):
MR1959792
Zentralblatt MATH identifier:
1020.60019
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