Slud, Eric V. - In: Stochastic Processes and their Applications 50 (1994) 2, pp. 221-233
Let ([Omega],,P) be a probability space equipped with two filtrations {t} and {t} satisfying the usual conditions. Assume that X is a semimartingale and that h is locally bounded and predictable for each of the two filtrations {t} and {t}. New examples of such processes are given. Utilizing and...