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On two multistable extensions of stable Lévy motion and their semimartingale representation (1209.2236v2)
Published 11 Sep 2012 in math.PR
Abstract: We compare two definitions of multistable L\'evy motions. Such processes are extensions of classical L\'evy motion where the stability index is allowed to vary in time. We show that the two multistable L\'evy motions have distinct properties: in particular, one is a pure-jump Markov process, while the other one satisfies neither of these properties. We prove that both are semimartingales and provide semimartingale decompositions.
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