\(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes. (Q2574559): Difference between revisions

In the first part of the paper the notion of weak Dirichlet process is introduced, which is essentially the sum of a continuous local martingale and a process that is ``orthogonal'' to this martingale. The concepts of \(n\)-variation and \(n\)-covariation are defined and discussed for \(n\geq 2\). Examples of non-finite quadratic variation processes are provided, with special attention paid to convolution of (local) martingales. In the second part of the paper the processes with finite strong cubic variation are dealt with. Basic stochastic calculus for such processes is developed: The Itô formula is proven and solutions to stochastic differential equations, in a Stratonovich sense, with respect to those processes are studied.