Identifying the Predictable Drift of a Semimartingale from Marginal Laws
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 $A$ when $X$ is observed only through repeated cross-sections. The estimand is then the projection of the sampled predictable compensator onto the...
Jakub Mareček, E. Biffis, Abigail Langbridge et al.
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