Semimartingale decomposition of the logarithm of local density processes
type: Item
instance of: scholarly article
zbMATH Open document ID: 0988.60033
author: Yu. N. Lin'kov
author: Oksana A. Nikolaeva
publication date: 2002-03-13T00:00:00Z
Mathematics Subject Classification ID: 60G30
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 1718889
zbMATH Keywords: semimartingale
zbMATH Keywords: special semimartingale
zbMATH Keywords: local density process
zbMATH Keywords: canonical representation
MaRDI profile type: Publication
title: Semimartingale decomposition of the logarithm of local density processes
published in: Theory of Stochastic Processes
review text: 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.
reviewed by: M. P. Moklyachuk
description: scientific article; zbMATH DE number 1718889