{
  "id": "0910.3992",
  "version": "v5",
  "published": "2009-10-21T04:12:21.000Z",
  "updated": "2012-05-16T01:39:34.000Z",
  "title": "Mimicking the marginal distributions of a semimartingale",
  "authors": [
    "Amel Bentata",
    "Rama Cont"
  ],
  "comment": "Revision: 2012",
  "categories": [
    "math.PR"
  ],
  "abstract": "We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale $\\xi$ can be matched by a Markov process, whose infinitesimal generator is expressed in terms of the local characteristics of $\\xi$. Our construction applies to a large class of semimartingales, including smooth functions of a Markov process. We use this result to derive a partial integro-differential equation for the one-dimensional distributions of a semimartingale, extending the Kolmogorov forward equation to a non-Markovian setting.",
  "revisions": [
    {
      "version": "v5",
      "updated": "2012-05-16T01:39:34.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60J75",
      "60H10"
    ],
    "keywords": [
      "marginal distributions",
      "semimartingale",
      "markov process",
      "partial integro-differential equation",
      "construction applies"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2009arXiv0910.3992B"
    }
  }
}