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Decomposition of order statistics of semimartingales using local times

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  • Raouf Ghomrasni
  • Olivier Menoukeu Pamen

Abstract

In a recent work \cite{BG}, given a collection of continuous semimartingales, authors derive a semimartingale decomposition from the corresponding ranked processes in the case that the ranked processes can meet more than two original processes at the same time. This has led to a more general decomposition of ranked processes. In this paper, we derive a more general result for semimartingales (not necessarily continuous) using a simpler approach. Furthermore, we also give a generalization of Ouknine \cite{O1, O2} and Yan's \cite{Y1} formula for local times of ranked processes

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  • Raouf Ghomrasni & Olivier Menoukeu Pamen, 2008. "Decomposition of order statistics of semimartingales using local times," Papers 0807.5001, arXiv.org.
    • Handle: RePEc:arx:papers:0807.5001
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