TY - JOUR

T1 - On the path structure of a semimartingale arising from monotone probability theory

AU - Belton, Alexander C. R.

N1 - To appear in Annales de l'Institut Henri Poincare (B) Probability and Statistics; accepted in final form: 5th November 2006. Posted on the arXiv: 24th September 2007. RAE_import_type : Internet publication RAE_uoa_type : Pure Mathematics

PY - 2008

Y1 - 2008

N2 - Let X be the unique normal martingale such that X_0 = 0 and d[X]_t = (1 - t - X_{t-}) dX_t + dt and let Y_t := X_t + t for all t >= 0; the semimartingale Y arises in quantum probability, where it is the monotone-independent analogue of the Poisson process. The trajectories of Y are examined and various probabilistic properties are derived; in particular, the level set {t >= 0 : Y_t = 1} is shown to be non-empty, compact, perfect and of zero Lebesgue measure. The local times of Y are found to be trivial except for that at level 1; consequently, the jumps of Y are not locally summable.

AB - Let X be the unique normal martingale such that X_0 = 0 and d[X]_t = (1 - t - X_{t-}) dX_t + dt and let Y_t := X_t + t for all t >= 0; the semimartingale Y arises in quantum probability, where it is the monotone-independent analogue of the Poisson process. The trajectories of Y are examined and various probabilistic properties are derived; in particular, the level set {t >= 0 : Y_t = 1} is shown to be non-empty, compact, perfect and of zero Lebesgue measure. The local times of Y are found to be trivial except for that at level 1; consequently, the jumps of Y are not locally summable.

U2 - 10.1214/07-AIHP116

DO - 10.1214/07-AIHP116

M3 - Journal article

VL - 44

SP - 258

EP - 279

JO - Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques

JF - Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques

SN - 0246-0203

IS - 2

ER -