Decomposition of Order Statistics of Semimartingales Using Local Times

DOI10.1080/07362991003708341zbMath1207.60052arXiv0807.5001OpenAlexW2082526560MaRDI QIDQ3578752

Olivier Menoukeu Pamen, Raouf Ghomrasni

Publication date: 20 July 2010

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.5001

zbMATH Keywords

order statisticssemimartingaleslocal times

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Cites Work

• Local times of ranked continuous semimartingales
• Diffusion with interactions and collisions between coloured particles and the propagation of chaos
• Some identities on semimartingales local times
• Equity portfolios generated by functions of ranked market weights
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Decomposition of Order Statistics of Semimartingales Using Local Times