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Continuous semimartingale

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Stochastic process Stochastic calculus Semimartingale
2026-10-07  0 By others on same topic  0 Discussions Create my own version
A continuous semimartingale is a continuous adapted process admitting a decomposition X=X0​+N+V, with N a zero-starting continuous local martingale and V continuous adapted finite variation. The decomposition is unique because a continuous finite-variation local martingale starting at zero vanishes. Its quadratic variation is [X]=[N].

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  1. Semimartingale
  2. Stochastic calculus
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  4. Probability theory
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  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 34 / 2 / b / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 34 / 2 / c / Solution
  • Quadratic variation under an absolutely continuous measure change

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