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- W3124447241 abstract "In a recent work cite{BG}, given a collection of continuous semimartingales, authors derive a semimartingale decomposition from the corresponding ranked processes in the case that the ranked processes can meet more than two original processes at the same time. This has led to a more general decomposition of ranked processes. In this paper, we derive a more general result for semimartingales (not necessarily continuous) using a simpler approach. Furthermore, we also give a generalization of Ouknine cite{O1, O2} and Yan's cite{Y1} formula for local times of ranked processes" @default.
- W3124447241 created "2021-02-01" @default.
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- W3124447241 date "2008-07-01" @default.
- W3124447241 modified "2023-09-27" @default.
- W3124447241 title "Decomposition of order statistics of semimartingales using local times" @default.
- W3124447241 hasPublicationYear "2008" @default.
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