Weak Dirichlet processes and generalized martingale problems - ENSTA Paris - École nationale supérieure de techniques avancées Paris Accéder directement au contenu
Article Dans Une Revue Stochastic Processes and their Applications Année : 2023

Weak Dirichlet processes and generalized martingale problems

Résumé

In this paper we explain how the notion of "weak Dirichlet process" is the suitable generalization of the one of semimartingale with jumps. For such a process we provide a unique decomposition: in particular we introduce "characteristics" for weak Dirichlet processes. We also introduce a weak concept (in law) of finite quadratic variation. We investigate a set of new useful chain rules and we discuss a general framework of (possibly path-dependent with jumps) martingale problems with a set of examples of SDEs with jumps driven by a distributional drift.
Fichier principal
Vignette du fichier
Bandini_Russo_WD_Revised.pdf (596.81 Ko) Télécharger le fichier
Bandini_Russo_WD_Revised.bbl (9.19 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-03660061 , version 1 (05-05-2022)
hal-03660061 , version 2 (01-07-2022)
hal-03660061 , version 3 (04-07-2023)

Identifiants

Citer

Elena Bandini, Francesco Russo. Weak Dirichlet processes and generalized martingale problems. Stochastic Processes and their Applications, In press. ⟨hal-03660061v3⟩
25 Consultations
43 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More