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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... (Update)
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BibTeX entry: (Update)
@article{ schachermayer99is,
author = "W. Schachermayer and W. Schachinger",
title = "Is There a Predictable Criterion for Mutual Singularity of Two Probability Measures on a Filtered Space?",
journal = "Theory of Probability and its Applications",
volume = "44",
number = "1",
pages = "51--59",
year = "1999",
url = "citeseer.ist.psu.edu/54464.html" }
Citations (may not include all citations):196 Probability: Theory and Examples (context) - Durrett - 1991
155 Limit Theorems for Stochastic Processes (context) - Jacod, Shiryaev - 1987
75 Probability with Martingales (context) - Williams - 1991
10 New York (context) - Shiryaev, Springer - 1996
6 On Hellinger Processes for Parametric Families of Experiment.. (context) - Dzhaparidze, Spreij et al. - 1996
6 Caract'eristiques locales et conditions de continuit'e absol.. (context) - Jacod, M'emin - 1976
5 Convergence of filtered statistical models and Hellinger pro.. (context) - Jacod - 1989
5 Filtered statistical models and Hellinger processes (context) - Jacod - 1989
4 predictable (context) - Liptser, Shiryaev et al. - 1983
1 Contiguity and Convergence in Variation of Probability Measu.. (context) - He, Wang et al. - 1988
1 absolue continuit'e (context) - Jacod, de Hellinger - 1983
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