Showing papers on "Semimartingale published in 1978"
TL;DR: In this article, a process is equivalent to a time change of Brownian motion if and only if it is a local semimartingale, where the time change is defined as a local time change.
Abstract: A process is equivalent to a time change of Brownian motion if and only if it is a local semimartingale.
163 citations
01 Jan 1978
56 citations
TL;DR: In this paper, the stability of stochastic differential equations was shown to be stable in ℋp under ℓp perturbations of semimartingale differentials.
Abstract: Solutions of systems of stochastic differential equations are shown to be stable in ℋp under ℋp perturbations of semimartingale differentials. Analogous results are obtained inpp when the solutions are not semimartingales but are only cadlag, adapted processes. Also, the solutions are shown to be stable under almost sure perturbations. These results are contrasted with the lack of stability under non-ℋp perturbations, a result originally obtained by Wong and Zakai.
40 citations