Decomposition of order statistics of semimartingales using local times
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Publication:3578752
DOI10.1080/07362991003708341zbMATH Open1207.60052arXiv0807.5001OpenAlexW2082526560MaRDI QIDQ3578752FDOQ3578752
Authors: Raouf Ghomrasni, Olivier Menoukeu-Pamen 
Publication date: 20 July 2010
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Abstract: In a recent work cite{BG}, given a collection of continuous semimartingales, authors derive a semimartingale decomposition from the corresponding ranked processes in the case that the ranked processes can meet more than two original processes at the same time. This has led to a more general decomposition of ranked processes. In this paper, we derive a more general result for semimartingales (not necessarily continuous) using a simpler approach. Furthermore, we also give a generalization of Ouknine cite{O1, O2} and Yan's cite{Y1} formula for local times of ranked processes
Full work available at URL: https://arxiv.org/abs/0807.5001
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Cited In (5)
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