Definition of Semimartingale. Meaning of Semimartingale. Synonyms of Semimartingale

Here you will find one or more explanations in English for the word Semimartingale. Also in the bottom left of the page several parts of wikipedia pages related to the word Semimartingale and, of course, Semimartingale synonyms and on the right images related to the word Semimartingale.

Definition of Semimartingale

No result for Semimartingale. Showing similar results...

Meaning of Semimartingale from wikipedia

- called a semimartingale if it can be decomposed as the sum of a local martingale and a càdlàg adapted finite-variation process. Semimartingales are "good...
- connection: We can then introduce the stochastic horizontal lift of a semimartingale and the stochastic development by the so-called Eells-Elworthy-Malliavin...
- integral or Fisk–Stratonovich integral of a semimartingale X {\displaystyle X} against another semimartingale Y can be defined in terms of the Itô integral...
- 1999, Chapter IV), which is a Brownian motion or, more generally, a semimartingale. The result of the integration is then another stochastic process. Concretely...
- generally a semimartingale. However, other types of random behaviour are possible, such as jump processes like Lévy processes or semimartingales with jumps...
- calculus, the Doléans-Dade exponential or stochastic exponential of a semimartingale X is the unique strong solution of the stochastic differential equation...
- price process is ****umed to follow a more general sigma-martingale or semimartingale, then the concept of arbitrage is too narrow, and a stronger concept...
- is absolutely continuous with respect to P then every P-semimartingale is a Q-semimartingale. We state the theorem first for the special case when the...
- stochastic processes, local time is a stochastic process ****ociated with semimartingale processes such as Brownian motion, that characterizes the amount of...
- be applied to general d-dimensional semimartingales, which need not be continuous. In general, a semimartingale is a càdlàg process, and an additional...