论文标题
关于缺乏半明天的财产
On the lack of semimartingale property
论文作者
论文摘要
在这项工作中，我们扩展了Cinlar等人中半明星函数的表征。 （1980）到非马克维亚环境。我们证明，如果Semimartingale的函数仍然是半障碍，那么在某些条件下，该函数必须具有间隔，而间隔则是两个凸功能的差异。在适当的条件下，此属性也适用于随机功能。作为应用程序，我们证明了Prokaj等人中定义的中位过程。 （2011年）不是半舞会。同样的过程也出现在Hu and Warren（2000）中，其中提出了Semimartingale财产的问题，但没有解决。
In this work we extend the characterization of semimartingale functions in Cinlar et al. (1980) to the non-Markovian setting. We prove that if a function of a semimartingale remains a semimartingale, then under certain conditions the function must have intervals where it is a difference of two convex functions. Under suitable conditions this property also holds for random functions. As an application, we prove that the median process defined in Prokaj et al. (2011) is not a semimartingale. The same process appears also in Hu and Warren (2000) where the question of the semimartingale property is raised but not settled.
