Semimartingale representation of the logarithm of density processes (Q1848046)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1821721
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Semimartingale representation of the logarithm of density processes |
scientific article; zbMATH DE number 1821721 |
Statements
Semimartingale representation of the logarithm of density processes (English)
0 references
25 November 2002
0 references
This paper investigates the properties of the local density process for general semimartingales when their predictable characteristics can be discontinuous, considers the semimartingales with canonical representation for the general truncation function and obtains the semimartingale decompositions for the logarithm of the local density processes.
0 references
semimartingale
0 references
semimartingale decomposition
0 references
local density process
0 references
canonical representation
0 references
0.949329435825348
0 references
0.8535053133964539
0 references
0.8205409646034241
0 references
