On infinitely divisible semimartingales

DOI10.1007/S00440-014-0609-1zbMATH Open1408.60034arXiv1404.7598OpenAlexW2152275846MaRDI QIDQ2634898FDOQ2634898

Jan Rosiński, Andreas Basse-O'Connor

Publication date: 10 February 2016

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: Stricker's theorem states that a Gaussian process is a semimartingale in its natural filtration if and only if it is the sum of an independent increment Gaussian process and a Gaussian process of finite variation, see [1983, Z. Wahrsch. Verw. Gebiete 64(3)]. We consider extensions of this result to non Gaussian infinitely divisible processes. First we show that the class of infinitely divisible semimartingales is so large that the natural analog of Stricker's theorem fails to hold. Then, as the main result, we prove that an infinitely divisible semimartingale relative to the filtration generated by a random measure admits a unique decomposition into an independent increment process and an infinitely divisible process of finite variation. Consequently, the natural analog of Stricker's theorem holds for all strictly representable processes (as defined in this paper). Since Gaussian processes are strictly representable due to Hida's multiplicity theorem, the classical Stricker's theorem follows from our result. Another consequence is that the question when an infinitely divisible process is a semimartingale can often be reduced to a path property, when a certain associated infinitely divisible process is of finite variation. This gives the key to characterize the semimartingale property for many processes of interest. Along these lines, we characterize semimartingales within a large class of stationary increment infinitely divisible processes; this class includes many infinitely divisible processes, including linear fractional processes, mixed moving averages, and supOU processes, as particular cases. The proof of the main theorem relies on series representations of jumps of cadlag infinitely divisible processes given in Basse-O'Connor and Rosinski [2013, Ann. Probab. 41(6)] combined with techniques of stochastic analysis.

Full work available at URL: https://arxiv.org/abs/1404.7598

zbMATH Keywords

fractional processesstationary processesinfinitely divisible processessemimartingales

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Generalizations of martingales (60G48) Sample path properties (60G17) Stochastic integrals (60H05)

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Cited In (9)

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• Tail behavior and almost sure growth rate of superpositions of Ornstein-Uhlenbeck-type processes
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• Modelling Lévy space‐time white noises
• Equivalent martingale measures for Lévy-driven moving averages and related processes
• A FINANCIAL MARKET OF A STOCHASTIC DELAY EQUATION
• On limit theory for functionals of stationary increments Lévy driven moving averages

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