On the path structure of a semimartingale arising from monotone probability theory

Abstract: Let

X

be the unique normal martingale such that

X_{0} = 0

and [mathrm{d}[X]_t=(1-t-X_{t-}) mathrm{d}X_t+mathrm{d}t] and let

Y_{t} := X_{t} + t

for all

t g e q 0

; the semimartingale

Y

arises in quantum probability, where it is the monotone-independent analogue of the Poisson process. The trajectories of

Y

are examined and various probabilistic properties are derived; in particular, the level set

t g e q 0 d v t Y_{t} = 1

is shown to be non-empty, compact, perfect and of zero Lebesgue measure. The local times of

Y

are found to be trivial except for that at level 1; consequently, the jumps of

Y

are not locally summable.

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