Probability theory and stochastic processes Martingales Concept
Semimartingale
Summary
A semimartingale is a process that is the sum of a local martingale and a process of finite variation. Semimartingales are the largest natural class of integrators for stochastic integrals. Brownian motion, Lévy processes and solutions of stochastic differential equations are semimartingales.
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| Tag | 4EJB6E2AZK |
|---|---|
| URI | m2://4EJB6E2AZK |
| Kind | concept |
| Writing | W0 stub |
| MSC | 60G48, 60H05 |
| Specializes | Stochastic process |
| Same as | |
| Changed | 2 November 2026 |
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