Weak Dirichlet processes with jumps - Archive ouverte HAL Access content directly
Journal Articles Stochastic Processes and their Applications Year : 2017

Weak Dirichlet processes with jumps


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.
Fichier principal
Vignette du fichier
WeakDirichletFebruary2017.pdf (380.85 Ko) Télécharger le fichier
Origin Files produced by the author(s)

Dates and versions

hal-01241073 , version 1 (09-12-2015)
hal-01241073 , version 2 (16-12-2016)
hal-01241073 , version 3 (01-03-2017)



Elena Bandini, Francesco Russo. Weak Dirichlet processes with jumps. Stochastic Processes and their Applications, 2017, 12, pp.4139-4189. ⟨10.1016/j.spa.2017.04.001⟩. ⟨hal-01241073v3⟩
189 View
228 Download



Gmail Mastodon Facebook X LinkedIn More