On the Existence of Semimartingales with Continuous Characteristics
Probability
2019-09-02 v3
Abstract
We prove the existence of quasi-left continuous semimartingales with continuous local semimartingale characteristics which satisfy a Lyapunov-type or a linear growth condition, where latter takes the whole history of the paths into consideration. The proof is based on an approximation and a tightness argument and the martingale problem method.
Keywords
Cite
@article{arxiv.1902.03976,
title = {On the Existence of Semimartingales with Continuous Characteristics},
author = {David Criens},
journal= {arXiv preprint arXiv:1902.03976},
year = {2019}
}
Comments
Forthcoming in "Stochastics"