Local times of ranked continuous semimartingales |
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| Authors: | Adrian D. Banner Raouf Ghomrasni |
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| Affiliation: | 1. INTECH, One Palmer Square Suite 441, Princeton, NJ 08542, USA;2. Programme in Advanced Mathematics of Finance, School of Computational and Applied Mathematics, University of the Witwatersrand, Private Bag 3, Wits, 2050 Johannesburg, South Africa |
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| Abstract: | Given a finite collection of continuous semimartingales, we derive a semimartingale decomposition of the corresponding ranked (order-statistics) processes. We apply the decomposition to extend the theory of equity portfolios generated by ranked market weights to the case where the stock values admit triple points. |
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| Keywords: | primary, 60H10, 91B28 secondary, 60J55 |
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