Mimicking the marginal distributions of a semimartingale

Publication date 21 October 2009

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale

x i

can be matched by a Markov process, whose infinitesimal generator is expressed in terms of the local characteristics of

x i

. Our construction applies to a large class of semimartingales, including smooth functions of a Markov process. We use this result to derive a partial integro-differential equation for the one-dimensional distributions of a semimartingale, extending the Kolmogorov forward equation to a non-Markovian setting.

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