Quick search | Browse volumes | |

XIII: 38, 443-452, LNM 721 (1979)

**EL KAROUI, Nicole**

Temps local et balayage des semimartingales (General theory of processes)

This paper is the first one in a series of reports on the balayage of semimartingales, and the following description is common to all of them. \par Let $H$ be a right-closed optional set, and let $g_t=\sup\{s<t, s\in H\}$ and $D_t=\inf\{s>t,s\in H\}$. Put $L=g_{\infty}$. Let also $G$ be the set of all left-endpoints of intervals contiguous to $H$, i.e., of all points $g_t$ for $t\notin H$. For simplicity we assume here that $D_0=0$ and that $H=\{X=0\}$, where $X$ is a semimartingale with decomposition $X=M+V$, though for a few results (including the balayage formula itself) it is sufficient that $X=0$ on $H$. \par One of the starting points of this paper is the*balayage formula * (see Azéma-Yor, introduction to *Temps Locaux *, *Astérisque *, **52-53**): if $Z$ is a locally bounded previsible process, then $$Z_{g_t}X_t=\int_0^t Z_{g_s}dX_s$$ and therefore $Y_t=Z_{g_t}X_t$ is a semimartingale. The main problem of the series of reports is: what can be said if $Z$ is not previsible, but optional, or even progressive?\par This particular paper is devoted to the study of the non-adapted process $$K_t=\sum_{g\in G,g\le t } (M_{D_g}-M_g)$$ which turns out to have finite variation

Comment: This paper is completed by 1357

Keywords: Local times, Balayage, Balayage formula

Nature: Original

Retrieve article from Numdam

Temps local et balayage des semimartingales (General theory of processes)

This paper is the first one in a series of reports on the balayage of semimartingales, and the following description is common to all of them. \par Let $H$ be a right-closed optional set, and let $g_t=\sup\{s<t, s\in H\}$ and $D_t=\inf\{s>t,s\in H\}$. Put $L=g_{\infty}$. Let also $G$ be the set of all left-endpoints of intervals contiguous to $H$, i.e., of all points $g_t$ for $t\notin H$. For simplicity we assume here that $D_0=0$ and that $H=\{X=0\}$, where $X$ is a semimartingale with decomposition $X=M+V$, though for a few results (including the balayage formula itself) it is sufficient that $X=0$ on $H$. \par One of the starting points of this paper is the

Comment: This paper is completed by 1357

Keywords: Local times, Balayage, Balayage formula

Nature: Original

Retrieve article from Numdam