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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

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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}
}

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11 pages