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Properties of the likelihood ratio for semimartingales with deterministic triplets in the parametric case

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Abstract

We consider semimartingales with deterministic discontinuous triplets. We obtain properties of the like-lihood ratio for the parametric case in terms of the Hellinger processes.

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Authors
  1. Yu. N. Lin'kov
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  2. Yu. A. Shevlyakov
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Additional information

Institute of Applied Mathematics and Mechanics, Ukrainian Academy of Sciences, Donetsk. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 51, No. 9, pp. 1172–1180, September, 1999.

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Lin'kov, Y.N., Shevlyakov, Y.A. Properties of the likelihood ratio for semimartingales with deterministic triplets in the parametric case. Ukr Math J 51, 1321–1329 (1999). https://doi.org/10.1007/BF02592999

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  • DOI: https://doi.org/10.1007/BF02592999

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