The semimartingale decomposition of one-dimensional quasidiffusions with natural scale (Q1094765): Difference between revisions

For a non-decreasing extended real-valued function m let \(E_ m\) be its points of increase. Let B be a Brownian motion and L(.,x) its local time at x. A quasi-diffusion, X, associated with m and B is obtained from B via a random time-change based on the additive functional \(A:=\int L(.,x)m(dx)\). The process X is a semimartingale living in \(E_ m\). Explicit expressions are given for its continuous martingale, discontinuous martingale and bounded variation part.