The Fourth Characteristic of a Semimartingale

Abstract

We extend the class of semimartingales in a natural way. This allows us to incorporate processes having paths that leave the state space R^d. In particular Markov processes related to sub-Markovian kernels, but also non-Markovian processes with path-dependent behavior. By carefully distinguishing between two killing states, we are able to introduce a fourth semimartingale characteristic which generalizes the fourth part of the L\'evy quadruple. Using the probabilistic symbol, we analyze the close relationship between the generators of certain Markov processes with killing and their (now four) semimartingale characteristics.