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Une généralisation des semimartingales: Les processus admettant un processus à accroissements indépendants tangent. (French) Zbl 0539.60033
Sémin. probabilités XVIII, 1982/83, Proc., Lect. Notes Math. 1059, 91-118 (1984).
[For the entire collection see Zbl 0527.00020.]
For a given cadlag process the precise notion of tangent process with independent increments is introduced. Using this notion, a certain class of quasicontinuous processes is defined which includes all quasicontinuous semimartingales and processes with independent increments. As in the case of semimartingales such processes are characterised by triplets of previsible characteristics but the ”drift” characteristic can be of unbounded variation. Limit theorems in terms of triplets can be obtained.
Reviewer: R.Mikulevičius

MSC:
60G07 General theory of stochastic processes
60G44 Martingales with continuous parameter
60J99 Markov processes
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