Natural decomposition of processes and weak Dirichlet processes - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Lecture Notes in Mathematics Année : 2006

Natural decomposition of processes and weak Dirichlet processes

Résumé

A class of stochastic processes, called "weak Dirichlet processes", is introduced and its properties are investigated in detail. This class is much larger than the class of Dirichlet processes. It is closed under C^1$-transformations and under absolutely continuous change of measure. If a weak Dirichlet process has finite energy, as defined by Graversen and Rao, its Doob-Meyer type decomposition is unique. The developed methods have been applied to a study of generalized martingale convolutions.
Fichier principal
Vignette du fichier
memin.pdf (276.33 Ko) Télécharger le fichier
Loading...

Dates et versions

hal-00001360 , version 1 (26-03-2004)
hal-00001360 , version 2 (05-04-2004)

Identifiants

Citer

François Coquet, Adam Jakubowski, Jean Mémin, Leszek Slominski. Natural decomposition of processes and weak Dirichlet processes. Lecture Notes in Mathematics, 2006, 1874, pp.81-116. ⟨hal-00001360v2⟩
284 Consultations
167 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More