Resumen de Information processes for semimartingale experiments

Kacha Dzhaparidze, Peter Spreij, Esko Valkeila

• In this paper we give explicit representations for Kullback--Leibler information numbers between a priori and a posteriori distributions, when the observations come from a semimartingale. We assume that the distribution of the observed semimartingale is described in terms of the so-called triplet of predictable characteristics. We end by considering the corresponding notions in a model with a fractional noise.