A FORMULA FOR THE GENERALIZED DENSITY PROCESS OF THE DISTRIBUTIONS OF SEMIMARTINGALES WITH INDEPENDENT INCREMENTS.

In this paper we prove a formula for the density process of the distributions of two semimartingales with independent increments. This formula generalizes a well-known result for the case of locally absolutely continuous distributions as well as Sato's result for Levy processes without the requirement of local absolute continuity. [ABSTRACT FROM AUTHOR]