Summary.
The description of the class of all functions f = (f(t,x), t≥ 0,x∈R) is given, for which the transformed process (f(t,W t ),t≥ 0) (where W is a standard Wiener process) is a semimartingale.
Article PDF
Similar content being viewed by others
Author information
Authors and Affiliations
Additional information
Received: 1 June 1996 / In revised form: 24 March 1997
Rights and permissions
About this article
Cite this article
Chitashvili, R., Mania, M. On functions transforming a Wiener process into a semimartingale. Probab Theory Relat Fields 109, 57–76 (1997). https://doi.org/10.1007/s004400050125
Issue Date:
DOI: https://doi.org/10.1007/s004400050125