Structure of infinitely divisible semimartingales

arXiv1209.1644MaRDI QIDQ6235518FDOQ6235518

Authors: Andreas Basse-O'Connor, Jan Rosiński 

Publication date: 7 September 2012

Abstract: This paper gives a complete characterization of infinitely divisible semimartingales, i.e., semimartingales whose finite dimensional distributions are infinitely divisible. An explicit and essentially unique decomposition of such semimartingales is obtained. A new approach, combining series decompositions of infinitely divisible processes with detailed analysis of their jumps, is presented. As an ilustration of the main result, the semimartingale property is explicitely determined for a large class of stationary increment processes and several examples of processes of interest are considered. These results extend Stricker's theorem characterizing Gaussian semimartingales and Knight's theorem describing Gaussian moving average semimartingales, in particular.

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