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Start Over Descriptor "Semimartingale" Topic brownian motion Publisher society for industrial & applied mathematics
1 results on '"Semimartingale"'

1. ON THE SUM OF GAUSSIAN MARTINGALE AND AN INDEPENDENT FRACTIONAL BROWNIAN MOTION.

Author

BELFADLI, R., CHADAD, M., and ERRAOUI, M.

Subjects
*GAUSSIAN sums, *MARTINGALES (Mathematics), *BROWNIAN motion, *MARKOV processes
Abstract

In the same context as in the seminal paper [P. Cheridito, Bernoulli, 7 (2001), pp. 913-934], we are concerned with the semimartingale property of the sum of some Gaussian martingale and an independent fractional Brownian motion with Hurst parameter H = (0, 1). At the same time, we emphasize that the Markov property is lost even if the martingale owns it. [ABSTRACT FROM AUTHOR]

Published
2023
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