On the existence of semimartingales with continuous characteristics

DOI10.1080/17442508.2019.1657430zbMATH Open1490.60074arXiv1902.03976OpenAlexW3099166674WikidataQ127283674 ScholiaQ127283674MaRDI QIDQ5086516FDOQ5086516

Authors: David Criens 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

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.

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

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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)

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Cited In (10)

• Absolute continuity of semimartingales
• ON JACOD–GRIGELIONIS CHARACTERISTICS FOR HILBERT SPACE VALUED SEMIMARTINGALES
• A Wong-Zakai-type theorem for certain discontinuous semimartingales
• Measurability of semimartingale characteristics with respect to the probability law
• Title not available (Why is that?)
• On the path structure of a semimartingale arising from monotone probability theory
• The fourth characteristic of a semimartingale
• Title not available (Why is that?)
• Nonlinear semimartingales and Markov processes with jumps
• Semimartingales and measure preserving flows

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