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arXiv · 1902.03976

On the Existence of Semimartingales with Continuous Characteristics

David Criens
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Abstract

We prove the existence of quasi-left continuous semimartingales with continuous local semimartingale characteristics which satisfy a Lyapunov-type or a linear growth condition, where latter takes the whole history of the paths into consideration. The proof is based on an approximation and a tightness argument and the martingale problem method.

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BibTeXRIS

David Criens. 2019-02-11. On the Existence of Semimartingales with Continuous Characteristics. https://doi.org/10.1080/17442508.2019.1657430

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