Characterization of a new class of stochastic processes including all known extensions of the class $(\Sigma)$

TL;DR

This paper introduces a new unified class of stochastic processes, extending existing classes $(\\Sigma)$ and $(\Sigma^{r})$, with new characterization results and properties that enhance understanding of their structure and relationships.

Contribution

It presents a new larger class $(\Sigma^{g})$ unifying classes $(\Sigma)$ and $(\Sigma^{r})$, along with new characterization theorems and extended properties.

Findings

Characterization of processes in class $(\Sigma^{g})$

Unified framework for classes $(\Sigma)$ and $(\Sigma^{r})$

Extended properties of these classes

Abstract

This paper contributes to the study of class $(\Sigma^{r})$ as well as the c\`adl\`ag semi-martingales of class $(\Sigma)$, whose finite variational part is c\`adl\`ag instead of continuous. The two above-mentioned classes of stochastic processes are extensions of the family of c\`adl\`ag semi-martingales of class $(\Sigma)$ considered by Nikeghbali \cite{nik} and Cheridito et al. \cite{pat}; i.e., they are processes of the class $(\Sigma)$, whose finite variational part is continuous. The two main contributions of this paper are as follows. First, we present a new characterization result for the stochastic processes of class $(\Sigma^{r})$. More precisely, we extend a known characterization result that Nikeghbali established for the non-negative sub-martingales of class $(\Sigma)$, whose finite variational part is continuous (see Theorem 2.4 of \cite{nik}). Second, we provide a framework for unifying the studies of classes $(\Sigma)$ and $(\Sigma^{r})$. More precisely, we define and study a new larger class that we call class $(\Sigma^{g})$. In particular, we establish two characterization results for the stochastic processes of the said class. The first one characterizes all the elements of class $(\Sigma^{g})$. Hence, we derive two corollaries based on this result, which provides new ways to characterize classes $(\Sigma)$ and $(\Sigma^{r})$. The second characterization result is, at the same time, an extension of the above mentioned characterization result for class $(\Sigma^{r})$ and of a known characterization result of class $(\Sigma)$ (see Theorem 2 of \cite{fjo}). In addition, we explore and extend the general properties obtained for classes $(\Sigma)$ and $(\Sigma^{r})$ in \cite{nik,pat,mult, Akdim}.