Characterization of a New Class of Stochastic Processes Including all Known Extensions of the Class (\(\Sigma\))
نویسندگان
چکیده
The class (\(\Sigma\)) is an important family of semimartingales defined by Yor. These processes play a key role in the theory probability and their applications. For instance, such are used to resolve Skorokhod Imbedding Problem construct solutions for homogeneous inhomogeneous skew Brownian Motion equations. This paper contributes study classes (\(\Sigma^r\)). But, instead considering as it customary, semi-martingales whose finite variational part continuous, we will consider those càdlàg. two main contributions this follows. First, present new characterization result stochastic Second, provide framework unifying studies More precisely, define larger that call (\(\Sigma^g\)) which give results. In addition, derive some structural properties inspired obtained Finally, show can take form relative martingales. formula allowing recover from honest time final value.
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ژورنال
عنوان ژورنال: Asian Journal of Probability and Statistics
سال: 2022
ISSN: ['2582-0230']
DOI: https://doi.org/10.9734/ajpas/2022/v20i3429