On the existence of semimartingales with continuous characteristics

DOI10.1080/17442508.2019.1657430MaRDI QIDQ5086516zbMATH OpenOpenAlexWikidataFDO

Authors David Criens

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.03976

zbMATH Keywords

martingale problemLyapunov conditionlinear growth conditionexistence of semimartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General theory of stochastic processes (60G07)

Abstract: We prove the existence of quasi-left continuous semimartingales with continuous local semimartingale characteristics which satisfy a Lyapunov-type or a linear growth condition, where latter takes the whole history of the paths into consideration. The proof is based on an approximation and a tightness argument and the martingale problem method.

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Cited in

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• Measurability of semimartingale characteristics with respect to the probability law
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