Let (Z) be an (mathbb{R})-valued semi-martingale such that (Z) and (Z_{-}) do not vanish. Prove that [

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Let \(Z\) be an \(\mathbb{R}\)-valued semi-martingale such that \(Z\) and \(Z_{-}\) do not vanish. Prove that

\[ \mathcal{L}(Z)_{t}=\ln \left(\left|\frac{Z_{t}}{Z_{0}}\right|\right)+\int_{0}^{t} \frac{1}{2 Z_{s-}^{2}} d\left\langle Z^{c}\right\rangle_{s}-\sum_{s \leq t}\left(\ln \left|\frac{Z_{s}}{Z_{s-}}\right|+1-\frac{Z_{s}}{Z_{s-}}\right) . \]

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Mathematical Methods For Financial Markets

ISBN: 9781447125242

1st Edition

Authors: Monique Jeanblanc, Marc Yor, Marc Chesney

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