Construction of semimartingales from pieces by the method of excursion point processes (Q1091035)
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scientific article; zbMATH DE number 4009447
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Construction of semimartingales from pieces by the method of excursion point processes |
scientific article; zbMATH DE number 4009447 |
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Construction of semimartingales from pieces by the method of excursion point processes (English)
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1987
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The paper gives a construction of the Brownian motion and more generally of a continuous martingale from its pieces. In the construction the author utilizes the notion of a Poisson point process with values in a functional space and the stochastic calculus of point processes.
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piece of Brownian motion
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Poisson point process
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stochastic calculus of point processes
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