This article is cited in 5 papers

Short Communications

Representation of a class of semimartingales as stable integrals

P. A. Zanzotto

Dipartimento di Matematica, Università di Pisa, Italy

Abstract: We characterize the class of semimartingales which can be represented as a stochastic integral with respect to $\alpha$-stable Levy motion. Conditions are formulated in terms of the characteristics of the semimartingales.

Keywords: semimartingales without continuous martingale part, jump-measure, compensator, strictly $\alpha$-stable Levy processes, stable integrals, representation formulas.

Received: 12.01.1998

Language: English

DOI: 10.4213/tvp2171

 English version: Theory of Probability and its Applications, 1999, 43:4, 666–676

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