The semimartingale decomposition of one-dimensional quasidiffusions with natural scale (Q1094765): Difference between revisions
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Revision as of 01:13, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | The semimartingale decomposition of one-dimensional quasidiffusions with natural scale |
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The semimartingale decomposition of one-dimensional quasidiffusions with natural scale (English)
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1987
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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.
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local time
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quasi-diffusion
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additive functional
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semimartingale
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