Pure-jump semimartingales

DOI10.3150/21-BEJ1325zbMath1502.60085arXiv1909.03020MaRDI QIDQ1983627

Aleš Černý, Johannes Ruf

Publication date: 10 September 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.03020

zbMATH Keywords

stochastic calculusLévy processjump measuresemimartingale topologypredictable compensator

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (2)

Simplified calculus for semimartingales: multiplicative compensators and changes of measure ⋮ Simplified stochastic calculus via semimartingale representations

Cites Work

• Convergence of local supermartingales
• Simplified stochastic calculus with applications in economics and finance
• $\sigma$-Localization and $\sigma$-Martingales
• On Square Integrable Martingales
• Supermartingales as Radon-Nikodym densities and related measure extensions
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