Decomposition of order statistics of semimartingales using local times

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dc.creatorGhomrasni, Raouf
dc.creatorPamen, Olivier Menoukeu
dc.date2008-07-31
dc.date.accessioned2026-07-07T12:05:56Z
dc.date.available2026-07-07T12:05:56Z
dc.descriptionIn 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
dc.description11 pages
dc.identifierhttps://arxiv.org/abs/0807.5001
dc.identifierhttp://arxiv.org/abs/0807.5001
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208517
dc.subjectProbability
dc.subjectStatistics Theory
dc.subjectStatistical Finance
dc.subject60J65, 60H05
dc.titleDecomposition of order statistics of semimartingales using local times
dc.typetext

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