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semimartingale
Tipo de processo estocástico
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 an adapted finite-variation process whose paths are right-continuous with left limits (càdlàg). Semimartingales are "good integrators", forming the largest class of processes with respect to which the Itô integral and the Stratonovich integral can be defined.
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Texto em inglês Ainda não há artigo no seu idioma: trecho em inglês.
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 an adapted finite-variation process whose paths are right-continuous with left limits (càdlàg). 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 (including, for example, all continuously differentiable processes, Brownian motion and Poisson processes). Submartingales and supermartingales together represent a subset of the semimartingales.
Texto: Wikipédia em inglês, CC BY-SA 4.0. ·
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