Semimartingale
id:
semimartingale-219-4470919
title:
Semimartingale
text:
In probability theory, a real valued stochastic process X is called a semimartingale if it can be decomposed as the sum of a local martingale and a càdlàg adapted finite-variation process. Semimartingales are "good integrators", forming the largest class of processes with respect to which the Itô integral and the Stratonovich integral can be defined. The class of semimartingales is quite large. Submartingales and supermartingales together represent a subset of the semimartingales.
brand slug:
wiki
category slug:
encyclopedia
description:
Type of stochastic process
original url:
https://en.wikipedia.org/wiki/Semimartingale
date created:
2007-02-22T21:22:32Z
date modified:
2024-09-13T13:51:52Z
main entity:
{"identifier":"Q506346","url":"https://www.wikidata.org/entity/Q506346"}
image:
fields total:
13
integrity:
15