Semimartingales and Shrinkage of Filtration

Abstract

We consider a complete probability space $(\Omega ,\mathcal{F},\mathbb{P})$, which is endowed with two filtrations, $\mathbb{G}$ and $\mathbb{F}$, assumed to satisfy the usual conditions and such that $\mathbb{F}\subset \mathbb{G}$. On this probability space we consider a real valued special $\mathbb{G}$-semimartingale $X$. The purpose of this work is to study the following two problems: A. If $X$ is $\mathbb{F}$-adapted, compute the $\mathbb{F}$-semimartingale characteristics of $X$ in terms of the $\mathbb{G}$-semimartingale characteristics of $X$. B. If $X$ is not $\mathbb{F}$-adapted, given that the $\mathbb{F}$-optional projection of $X$ is a special semimartingale, compute the $\mathbb{F}$-semimartingale characteristics of $\mathbb{F}$-optional projection of $X$ in terms of the $\mathbb{G}$-canonical decomposition and $\mathbb{G}$-semimartingale characteristics of $X$.