Representation of a Class of Semimartingales as Stable Integrals

DOI10.1137/S0040585X97977252MaRDI QIDQ4954397zbMATH OpenOpenAlexFDO

Authors Pio Andrea Zanzotto

Publication date 6 June 2000

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97977252

zbMATH Keywords

\(\alpha\)-stable Lévy motionpoint measuresemimartingalestochastic integral

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integrals (60H05)

Review text

For the semimartingale \(X= \{X_t, t\geq 0\}\) conditions are analyzed in terms of the predictable characteristics of \(X\), when there exist an \(\alpha\)-stable Lévy motion \(Z= \{Z_t, t\geq 0\}\) and a predictable process \(H= \{H_t, t\geq 0\}\) on the suitable extension of the initial stochastic basis such that \[ X_t= \int_{]0,t]} H_s dZ_s,\quad t\geq 0. \]

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