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)

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(19)

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• Semimartingale integral representation
• The \(p\)-variation and an extension of the class of semimartingales
• On stochastic differential equations driven by a Cauchy process and other stable Lévy motions
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• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
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• On the Mean of a Stochastic Integral with Non-Gaussian α-Stable Noise
• Time Change Representation of Stochastic Integrals
• Representation of a Class of Semimartingales as Stable Integrals. Part 2
• scientific article; zbMATH DE number 862396 (Why is no real title available?)
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• A note on 𝐿₂-estimates for stable integrals with drift
• Canonical representation of weak semimartingales defined on the plane
• Integral representation of multiplicative martingale semigroups
• On one-dimensional stochastic differential equations driven by stable processes
• General path integrals and stable SDEs
• Lévy driven moving averages and semimartingales
• On two multistable extensions of stable Lévy motion and their semi-martingale representations

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