Identifying the Predictable Drift of a Semimartingale from Marginal Laws

Jakub Marecek, Enrico Biffis, Abigail Langbridge +1

A special semimartingale admits a unique decomposition $X=X_0+M+A$ into a local martingale $M$ and a predictable finite-variation part $A$. We consider the identification of $A$ wh…