Decomposition of order statistics of semimartingales using local times
Probability
2008-12-02 v1 Statistics Theory
Statistical Finance
Statistics Theory
Abstract
In a recent work \cite{BG}, given a collection of continuous semimartingales, authors derive a semimartingale decomposition from the corresponding ranked processes in the case that the ranked processes can meet more than two original processes at the same time. This has led to a more general decomposition of ranked processes. In this paper, we derive a more general result for semimartingales (not necessarily continuous) using a simpler approach. Furthermore, we also give a generalization of Ouknine \cite{O1, O2} and Yan's \cite{Y1} formula for local times of ranked processes
Cite
@article{arxiv.0807.5001,
title = {Decomposition of order statistics of semimartingales using local times},
author = {Raouf Ghomrasni and Olivier Menoukeu Pamen},
journal= {arXiv preprint arXiv:0807.5001},
year = {2008}
}
Comments
11 pages