… the class of infinitely divisible semimartingales is so large … prove that an infinitely divisible
semimartingale relative to the … increment process and an infinitely divisible process of finite …

… of infinitely divisible semimartingales, ie, semimartingales whose finite dimensional distributions
are infinitely divisible… unique decomposition of such semimartingales is obtained. A new …

… that for two functions ux and u2 yielding semimartingales, ux+u2 also yields a semimartingale,
… functions of such a process are continuous if and only if the infinitely divisible distributions …

… infinite divisibility (LAID) of families of measures corresponding to semimartingales. …
We shall use the symbol Y{(a, K) to denote the infinitely divisible distribution for given a and …

… Recall that a process X = (Xt)t≥0 is called a semimartingale with respect to F if it admits a
decomposition … Process X is a semimartingale with respect to the filtration FΛ the …

… ; another is the class of semimartingales. The study of Lévy … tive processes at any time are
infinitely divisible, that is, they … class of infinitely divisible distributions. Additive processes …

… infinitely divisible process. Note thata locally infinitely divisible process is a semimartingale
for … It is not hard to give an example of a process which is not locally infinitely divisible but for …

… semimartingale type, so that the comprehensive and very powerful theory of semimartingales
is … that have the additional property of being infinitely divisible are of some special interest, …

… tion of previsible stochastic processes that are integrable relative to semimartingales. As a
necessary first step to obtain this result, they also characterize non-random functions that are …

… and infinitely divisible distributions (Sect. 2). In Section 3, we briefly discuss the mathematical
foundations of arbitrage pricing theory when the underlying follows a semimartingale …