Neufeld, Ariel; Nutz, Marcel - In: Stochastic Processes and their Applications 124 (2014) 11, pp. 3819-3845
Given a càdlàg process X on a filtered measurable space, we construct a version of its semimartingale characteristics which is measurable with respect to the underlying probability law. More precisely, let Psem be the set of all probability measures P under which X is a semimartingale. We...