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arxiv: 0807.5001 · v1 · submitted 2008-07-31 · 🧮 math.PR · math.ST· q-fin.ST· stat.TH

Decomposition of order statistics of semimartingales using local times

classification 🧮 math.PR math.STq-fin.STstat.TH
keywords processesrankedcitedecompositionsemimartingalescontinuousderivegeneral
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In a recent work \cite{BG}, given a collection of continuous semimartingales, authors derive a semimartingale decomposition from the corresponding ranked processes in the case that the ranked processes can meet more than two original processes at the same time. This has led to a more general decomposition of ranked processes. In this paper, we derive a more general result for semimartingales (not necessarily continuous) using a simpler approach. Furthermore, we also give a generalization of Ouknine \cite{O1, O2} and Yan's \cite{Y1} formula for local times of ranked processes

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