Semimartingale decomposition
= Semimartingale decomposition
A semimartingale has a decomposition $X=X_0+M+A$ into a <local martingale> $M$ and an adapted <finite-variation process> $A$. Under standard normalizations the decomposition is unique.
= Semimartingale decomposition
A semimartingale has a decomposition $X=X_0+M+A$ into a <local martingale> $M$ and an adapted <finite-variation process> $A$. Under standard normalizations the decomposition is unique.