Semimartingale decomposition of the logarithm of local density processes
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.
scientific article; zbMATH DE number 1718889