Unfolding the Skorohod reflection of a semimartingale

Vilmos Prokaj

Statistics & Probability Letters, 2009, vol. 79, issue 4, 534-536

Abstract: It is well-known that the Skorohod reflection of a Wiener process is the absolute value of another Wiener process with finer filtration. In other words it can be unfolded to obtain a Wiener process. In this short note a similar statement is proved for continuous semimartingales.

Date: 2009
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(08)00462-8
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:79:y:2009:i:4:p:534-536

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().