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

The authors prove the following result. Let \(X\) be the unique normal martingale such that \(X_{0}=0\) and \[ d[X]_t=(1 - t - X_{t -} ) \, dX_t+dt \] and let \(Y_t:=X_t+t\) for all \(t \geq 0\); 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 \(\{t \geq 0: Y_t=1 \}\) 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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The monotone cumulants

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