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XII: 03, 22-34, LNM 649 (1978)
Projection prévisible et décomposition multiplicative d'une semi-martingale positive (General theory of processes)
The problem discussed is the decomposition of a positive ($\ge0$) special semimartingale $X$ (the most interesting cases being super- and submartingales) into a product of a positive local martingale and a positive previsible process of finite variation. The problem is solved here in the greatest possible generality, on a maximal non-vanishing domain for $X$---this is a previsible stochastic interval $[0,S)$ which at $S$ may be open or closed
Comment: This papers improves on 1021 and 1023
Keywords: Semimartingales, Multiplicative decomposition
Nature: Original
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