Weak Dirichlet processes with jumps

Abstract : This paper develops systematically stochastic calculus via regularization in the case of jump processes. In particular one continues the analysis of real-valued càdlàg weak Dirichlet processes with respect to a given filtration. Such a process is the sum of a local martingale and an adapted process A such that [N, A] = 0, for any continuous local martingale N. In particular, given a function u : [0, T ] × R → R, which is of class C^{0,1} (or sometimes less), we provide a chain rule type expansion for X_t = u(t, X_t) which stands in applications for a chain Itô type rule.
Type de document :
Pré-publication, Document de travail
2017
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https://hal-ensta.archives-ouvertes.fr/hal-01241073
Contributeur : Francesco Russo <>
Soumis le : mercredi 1 mars 2017 - 11:23:36
Dernière modification le : jeudi 2 mars 2017 - 10:02:35

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WeakDirichletFebruary2017.pdf
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  • HAL Id : hal-01241073, version 3
  • ARXIV : 1512.06236

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Elena Bandini, Francesco Russo. Weak Dirichlet processes with jumps. 2017. <hal-01241073v3>

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