# Semimartingale

On this page:

- Definition of the noun Semimartingale
- Explanation
- Printed dictionaries and other books with definitions for Semimartingale
- Online dictionaries and encyclopedias with entries for Semimartingale
- Video about Semimartingale
- Scrabble value of S
_{1}E_{1}M_{3}I_{1}M_{3}A_{1}R_{1}T_{1}I_{1}N_{1}G_{2}A_{1}L_{1}E_{1} - Share this page

## Definition of the noun Semimartingale

What does Semimartingale mean as a name of something?

**noun**

- [
*mathematics*] A form of probability process that is the sum of a martingale and another form of process

## Explanation

**Semimartingale**: In probability theory, a real valued process X is called a semimartingale if it can be decomposed as the sum of a local martingale and an adapted finite-variation process. Semimartingales are "good integrators", forming the largest class of processes with respect to which the Itō integral and the Stratonovich integral can be defined.

## Printed dictionaries and other books with definitions for Semimartingale

Click on a title to look inside that book (if available):

### Weak Convergence of Financial Markets (2003)

by Jean-Luc Prigent

* A semimartingale is a process X which has the following decomposition* (not
unique) X = X0 + A + M, where Xq is finite-valued and J-q — measurable, M is a
local martingale with Mq = 0 and A has finite-variation. 2)

**A special semimartingale**...

### Stochastic Processes (2011)

by Richard F. Bass

* A semimartingale is a process X of the formXt = Mt +A t, where Mt is a local
martingale and At is a process whose paths are locally of bounded variation*. As a
consequence of the Doob–Meyer decomposition we will see that submartingales
...

### Seminaire de Probabilites XXXI (1997)

by Jacques Azema, Michel Emery, Marc Yor

for which it is
already known that solutions are Markov processes provided * the driving
semimartingale is a Levy process*. The main interest of this paper is in the
consequences ...

### Probability and Finance Theory (2011)

by Kian Guan Lim

* A continuous
semimartingale is a continuous stochastic process that can be expressed as X t* ...

### Lévy Matters V (2015)

Functionals of Lévy Processes by Lars Nørvang Andersen, Søren Asmussen, Frank Aurzada, Peter W. Glynn, Makoto Maejima, Mats Pihlsgård, Thomas Simon

Alternatively, * a semimartingale is a stochastic process for which the stochastic
integral Z H*.s/dX.s/ (69) is well defined for H belonging to a satisfactory rich class
of processes (more precisely, the predictable processes). In (69), we will in this ...

### Continuous Time Markov Processes (2010)

An Introduction by Thomas Milton Liggett

* A continuous semimartingale is a stochastic process X*(t) that can be written in
the form (5.27) X(t) = M(t) + D(t), where M(t) is a continuous martingale and D(t) is
a continuous adapted process of bounded variation on bounded t sets ...

### Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)

by Eckhard Platen, Nicola Bruti-Liberati

* a semimartingale is an Aadapted, right-
continuous stochastic process X = {Xt ,t ≥ 0} with left hand limits, where Xt can be
expressed as a sum of the form Xt = X0 + At + Mt* (1.4.17) for all t ≥ 0. Here A ...

### The New Palgrave Dictionary of Economics (2016)

by NA NA

Such a process has continuous paths with unbounded variation and is not **a
semimartingale**. That is, it is not the sum of a martingale and a process with
bounded variation, and therefore cannot be generated from an integer-order SDE
.

### Dictionary of Scientific Principles (2012)

by Stephen Marvin

Osteogenic Induction Principle; Proportional Induction Principle; Structural
linearization Principle **SEMIMARTINGALE** Ambartsumian Invariance Principle;
Charnov's Invariance Principle; Donsker's Invariance Principle; Invariance
Principle; ...

### Encyclopedia of Quantitative Risk Analysis and Assessment (2008)

by Edward L. Melnick, Brian S. Everitt

mean
altogether or, for slightly longer horizons, treat it as a constant, μ, because of **the
semimartingale** property of the return series. Historically Filtered Volatility ...

### Encyclopaedia of Mathematics (2013)

Volume 3 Heaps and Semi-Heaps — Moments, Method of (in Probability Theory) by M. Hazewinkel

Nowadays, Ito's formula is more generally the usual name given to
the change of variable formula in a stochastic integral with respect to **a
semimartingale**.

## Online dictionaries and encyclopedias with entries for Semimartingale

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## Video about Semimartingale

**Semimartingale Meaning**

Video shows what semimartingale means. A form of probability process that is the sum of a martingale and another form of process. Semimartingale Meaning.

## Scrabble value of S_{1}E_{1}M_{3}I_{1}M_{3}A_{1}R_{1}T_{1}I_{1}N_{1}G_{2}A_{1}L_{1}E_{1}

The value of this 14-letter word is 19 points, but it's not an accepted word in the Official Scrabble Players Dictionary.

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