The semimartingale decomposition of one-dimensional quasidiffusions with natural scale

G. Burkhardt and U. Küchler

Stochastic Processes and their Applications, 1987, vol. 25, 237-244

Abstract: Quasidiffusions (with natural scale) are semimartingales obtained as time changed Wiener processes. Examples are diffusions and birth- and death-processes. In general, quasidiffusions are not continuous but they are skip-free. In this note we determine the continuous and the purely discontinuous martingale part of all such quasidiffusions.

Keywords: quasidiffusions; semimartingales; local; times (search for similar items in EconPapers)
Date: 1987
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