Behavior of Random Measures under Filtration Change

Abstract

In this paper, we study the problem of the behavior of $L^p $-valued random measures in the sense of Bichteler and Jacod [Lecture Notes in Control Inform. Sci., 49 (1983), pp. 1–18] and stochastic integrals with respect to them under filtration change and thus give a complete proof of the main result announced by the author in [First World Congress of the Bernoulli Society of Mathematical Statistics and Probability Theory (Abstracts), Vol. II, Nauka, Moscow, 1986, p. 734].