Semimartingale: Itô or not ?
type: Item
instance of: scholarly article
title: Semimartingale: Itô or not ?
author: Yacine Aït-Sahalia
author: Jean Jacod
published in: Stochastic Processes and their Applications
publication date: 2017-12-01T00:00:00Z
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 6814949
zbMATH Keywords: semimartingale
zbMATH Keywords: Itô
zbMATH Keywords: discrete sampling
zbMATH Keywords: high frequency
zbMATH Keywords: absolute continuity
zbMATH Keywords: Cantor set
MaRDI profile type: Publication
full work available at URL: j.spa.2017.04.006
OpenAlex ID: W2612586932
cites work: Testing for jumps in a discretely observed process
cites work: Q5495335
cites work: The Cantor function
cites work: Testing the type of a semi-martingale: Itō against multifractal
cites work: On stochastic differential equations
DOI: 10.1016/J.SPA.2017.04.006
description: scientific article; zbMATH DE number 6814949