Structure of infinitely divisible semimartingales
Abstract
This paper gives a complete characterization of infinitely divisible semimartingales, i.e., semimartingales whose finite dimensional distributions are infinitely divisible. An explicit and essentially unique decomposition of such semimartingales is obtained. A new approach, combining series decompositions of infinitely divisible processes with detailed analysis of their jumps, is presented. As an ilustration of the main result, the semimartingale property is explicitely determined for a large class of stationary increment processes and several examples of processes of interest are considered. These results extend Stricker's theorem characterizing Gaussian semimartingales and Knight's theorem describing Gaussian moving average semimartingales, in particular.
Cite
@article{arxiv.1209.1644,
title = {Structure of infinitely divisible semimartingales},
author = {Andreas Basse-O'Connor and Jan Rosinski},
journal= {arXiv preprint arXiv:1209.1644},
year = {2014}
}
Comments
See arXiv:1404.7598 for a major revision under a new title, improved and refocussed exposition