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Unfolding the Skorohod reflection of a semimartingale

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  • Prokaj, Vilmos

Abstract

It is well-known that the Skorohod reflection of a Wiener process is the absolute value of another Wiener process with finer filtration. In other words it can be unfolded to obtain a Wiener process. In this short note a similar statement is proved for continuous semimartingales.

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  • Prokaj, Vilmos, 2009. "Unfolding the Skorohod reflection of a semimartingale," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 534-536, February.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:4:p:534-536
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    Cited by:

    1. Hajri, Hatem & Touhami, Wajdi, 2014. "Itô’s formula for Walsh’s Brownian motion and applications," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 48-53.
    2. Constantinos Kardaras & Johannes Ruf, 2019. "Filtration shrinkage, the structure of deflators, and failure of market completeness," Papers 1912.04652, arXiv.org, revised Aug 2020.
    3. Constantinos Kardaras & Johannes Ruf, 2020. "Filtration shrinkage, the structure of deflators, and failure of market completeness," Finance and Stochastics, Springer, vol. 24(4), pages 871-901, October.

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