On Jump Measures of Optional Processes with Regulated Trajectories

Frank Oertel

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arXiv · 1508.01973

On Jump Measures of Optional Processes with Regulated Trajectories

Frank Oertel

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Abstract

Starting from an iterative and hence numerically easily implementable representation of the thin set of jumps of a c\`{a}dl\`{a}g adapted stochastic process $X$ (including a few applications to the integration with respect to the jump measure of $X$), we develop similar representation techniques to describe the set of jumps of optional processes with regulated trajectories and introduce their induced jump measures with a view towards the framework of enlarged filtration in financial mathematics.

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Frank Oertel. 2015-08-09. On Jump Measures of Optional Processes with Regulated Trajectories. https://arxiv.org/abs/1508.01973

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