Representation of a Class of Semimartingales as Stable Integrals. Part 2

DOI10.1137/S0040585X980166MaRDI QIDQ4830846zbMATH OpenFDO

Publication date 16 December 2004

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

Full work available at URL https://doi.org/10.1137/S0040585X980166

\(\alpha\)-stable Lévy process compensator jump-measure semimartingales stochastic integral

Generalizations of martingales (60G48) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

Review text

[For part I see ibid. 43, No. 4, 666--676 (1998); resp. ibid. 43, No. 4, 808--818 (1998; Zbl 0956.60055).] Let \(X\) be a semimartingale with the triplet of predictable characteristics \((bA,0,\pi)\), where \(b\in{\mathbf R}^1\), \[ \pi(\omega, ds,dx)= |H_s(\omega)|\,ds\otimes v(dx)= 1_{{\mathbf R}^1\setminus\{0\}}(x)\,cx^{-2}dx, \] \(c\geq 0\), \(A_t(\omega)= \int^t_0 |H_s(\omega)|\,ds\) (resp., \(A_t(\omega)= \int^t_0 H_s(\omega)\,ds\)). It is proved that there exists a Lévy process \(Z\) with the triplet \((b,o,v)\) of Lévy characteristics, possibly defined on an extension of the original probability space, such that \[ X_t= \int_{]0,t[} |H_s|\,dZ_s\quad \Biggl(\text{resp.,\;}X_t= \int_{]0,t[} H_s \,dZ_s\Biggr),\;t\geq 0.\tag{\(*\)} \] On the other side, if \((*)\) holds, then \(X\) is a semimartingale with the triplet of predictable characteristics \((bA, 0,\pi)\).

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