Semimartingales in Locally Compact Abelian Groups and Their Characteristic Triples
نویسنده
چکیده
The concepts of semimartingales and their characteristic triples are introduced for stochastic processes taking their values in a locally compact second countable abelian group. It is proved that the third characteristic always exists and that the first two characteristics always exist when the group is compact. Any continuous additive Gaussian process in a locally compact second countable abelian group is shown to be a semimartingale with characteristics that agree with its Lévy-Khinchine canonical triple.
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