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Semimartingale

Definition of the noun Semimartingale

What does Semimartingale mean as a name of something?

noun

  1. [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

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Google previewWeak 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 ...

Google previewStochastic 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 ...

Google previewSeminaire 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 ...

Google previewProbability and Finance Theory (2011)

by Kian Guan Lim

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

Google previewLévy 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 ...

Google previewContinuous 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 ...

Google previewNumerical 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 ...

Google previewThe 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 .

Google previewDictionary 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; ...

Google previewEncyclopedia 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 ...

Google previewEncyclopaedia 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.

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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 S1E1M3I1M3A1R1T1I1N1G2A1L1E1

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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