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UNIQUENESS OF DECOMPOSITIONS OF SKOROHOD-SEMIMARTINGALES

GIULIA DI NUNNO

CMA, Department of Mathematics, University of Oslo, P. O. Box 1053 Blindern, N-0316 Oslo, Norway

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BERNT ØKSENDAL

CMA, Department of Mathematics, University of Oslo, P. O. Box 1053 Blindern, N-0316 Oslo, Norway

Norwegian School of Economics and Business Administration, Helleveien 30, N-5045 Bergen, Norway

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OLIVIER MENOUKEU PAMEN

CMA, Department of Mathematics, University of Oslo, P. O. Box 1053 Blindern, N-0316 Oslo, Norway

Programme in Advanced Mathematics of Finance, School of Computational and Applied Mathematics, University of the Witwatersrand, Private Bag 3, Wits 2050, Johannesburg, South Africa

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FRANK PROSKE

CMA, Department of Mathematics, University of Oslo, P. O. Box 1053 Blindern, N-0316 Oslo, Norway

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https://doi.org/10.1142/S0219025711004274Cited by:0 (Source: Crossref)

Abstract

In this paper, we introduce Skorohod-semimartingales as an expanded concept of classical semimartingales in the setting of Lévy processes. We show under mild conditions that Skorohod-semimartingales similarly to semimartingales admit a unique decomposition.

Keywords:

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