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

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

2007-09-24

arxiv.org/abs/0709.3788v2

Annales de l'Institut Henri Poincar\'e - Probabilit\'es et Statistiques 2008, Vol. 44, No. 2, 258-279

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/07-AIHP116 the Annales de l'Institut Henri Poincar\'e - Probabilit\'es et Statistiqu

Scientific paper

10.1214/07-AIHP116

Let $X$ be the unique normal martingale such that $X_0=0$ and \[\mathrm{d}[X]_t=(1-t-X_{t-}) \mathrm{d}X_t+\mathrm{d}t\] and let $Y_t:=X_t+t$ for all $t\geq 0$; 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 $\{t\geq 0\dvt Y_t=1\}$ 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.

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