{
  "id": "0807.5001",
  "version": "v1",
  "published": "2008-07-31T07:34:47.000Z",
  "updated": "2008-07-31T07:34:47.000Z",
  "title": "Decomposition of order statistics of semimartingales using local times",
  "authors": [
    "Raouf Ghomrasni",
    "Olivier Menoukeu Pamen"
  ],
  "comment": "11 pages",
  "categories": [
    "math.PR",
    "math.ST",
    "q-fin.ST",
    "stat.TH"
  ],
  "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",
  "revisions": [
    {
      "version": "v1",
      "updated": "2008-07-31T07:34:47.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60J65",
      "60H05"
    ],
    "keywords": [
      "local times",
      "order statistics",
      "semimartingale decomposition",
      "original processes",
      "general decomposition"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 11,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2008arXiv0807.5001G"
    }
  }
}