23 citations · 81 across the 12 of their papers we have counts for
Showing math.PRShow all
2 papers · 1 filter
math.PR2020★ 2 cited
Simplified calculus for semimartingales: Multiplicative compensators and changes of measure
Aleš Černý, Johannes Ruf
The paper develops multiplicative compensation for complex-valued semimartingales and studies some of its consequences. It is shown that the stochastic exponential of any complex-v…
math.PR2019
Pure-jump semimartingales
Aleš Černý, Johannes Ruf
A new integral with respect to an integer-valued random measure is introduced. In contrast to the finite variation integral ubiquitous in semimartingale theory (Jacod and Shiryaev,…