Representation of a Class of Semimartingales as Stable Integrals (Q4954397)
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scientific article; zbMATH DE number 1456254
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| English | Representation of a Class of Semimartingales as Stable Integrals |
scientific article; zbMATH DE number 1456254 |
Statements
Representation of a Class of Semimartingales as Stable Integrals (English)
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6 June 2000
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semimartingale
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stochastic integral
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\(\alpha\)-stable Lévy motion
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point measure
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0.9206551909446716
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0.7943922877311707
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For the semimartingale \(X= \{X_t, t\geq 0\}\) conditions are analyzed in terms of the predictable characteristics of \(X\), when there exist an \(\alpha\)-stable Lévy motion \(Z= \{Z_t, t\geq 0\}\) and a predictable process \(H= \{H_t, t\geq 0\}\) on the suitable extension of the initial stochastic basis such that \[ X_t= \int_{]0,t]} H_s dZ_s,\quad t\geq 0. \]
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