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math.PR2022
From Markov Processes to Semimartingales
Sebastian Rickelhoff, Alexander Schnurr
In the development of stochastic integration and the theory of semimartingales, Markov processes have been a constant source of inspiration. Despite this historical interweaving, i…
math.PR2022
On the rôle of singular functions in extending the probabilistic symbol to its most general class
Sebastian Rickelhoff, Alexander Schnurr
The probabilistic symbol is the right-hand side derivative of the characteristic functions corresponding to the one-dimensional marginals of a stochastic process. This object, as l…