Year: 2009
Type: preprint
Abstract: We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale $ξ$ can be matched by a Markov process, whose infinitesimal generator is expressed in terms of the local characteristics of $ξ$. Our construction applies to a large class of semimartingales, including smooth functions of a Markov process. We use this result to derive a partial integro-differential equation for the one-dimensional distributions of a semimartingale, extending the Kolmogorov forward equation to a non-Markovian setting.
Source: arXiv (Cornell University)
Authors: Bentata, Amel, Cont, Rama
Institution: Laboratoire de Probabilités et Modèles Aléatoires
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1534145457