Semimartingale decomposition of the logarithm of local density processes (Q2777846)
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scientific article; zbMATH DE number 1718889
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Semimartingale decomposition of the logarithm of local density processes |
scientific article; zbMATH DE number 1718889 |
Statements
13 March 2002
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semimartingale
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special semimartingale
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local density process
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canonical representation
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Semimartingale decomposition of the logarithm of local density processes (English)
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The authors investigate properties of the local density process for general semimartingales with discontinuous predictable characteristics. The semimartingale decompositions for the logarithm of the local density processes are presented. Conditions under which the logarithm of local density process for general semimartingales is a semimartingale are proposed. The canonical representation of this semimartingale is obtained.
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