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In probability theory, a real valued process ''X'' is called a semimartingale if it can be decomposed as the sum of a local martingale and an adapted finite-variation process. Semimartingales are "good integrators", forming the largest class of processes with respect to which the Itō integral and the Stratonovich integral can be defined. The class of semimartingales is quite large (including, for example, all continuously differentiable processes, Brownian motion and Poisson processes). Submartingales and supermartingales together represent a subset of the semimartingales. ==Definition== A real valued process ''X'' defined on the filtered probability space (Ω,''F'',(''F''''t'')''t'' ≥ 0,P) is called a semimartingale if it can be decomposed as : where ''M'' is a local martingale and ''A'' is a càdlàg adapted process of locally bounded variation. An R''n''-valued process ''X'' = (''X''1,…,''X''''n'') is a semimartingale if each of its components ''X''''i'' is a semimartingale. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「semimartingale」の詳細全文を読む スポンサード リンク
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