Weak Dirichlet processes with jumps

DOI10.1016/j.spa.2017.04.001zbMath1374.60163arXiv1512.06236OpenAlexW2213274059MaRDI QIDQ1679481

Elena Bandini, Francesco Russo

Publication date: 9 November 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.06236

zbMATH Keywords

orthogonalityrandom measureweak Dirichlet processescalculus via regularizationsstochastic integrals for jump processes

Mathematics Subject Classification ID

Stochastic integrals (60H05) Random measures (60G57)

Related Items (8)

A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance ⋮ Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ Strong existence and uniqueness for stable stochastic differential equations with distributional drift ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Weak Dirichlet processes and generalized martingale problems ⋮ Special weak Dirichlet processes and BSDEs driven by a random measure ⋮ The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures ⋮ Stochastic systems with memory and jumps

Cites Work

• Generalized covariation for Banach space valued processes, Itō formula and applications
• Optimal control of semi-Markov processes with a backward stochastic differential equations approach
• Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
• Calcul stochastique et problèmes de martingales
• Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition
• Weak Dirichlet processes with a stochastic control perspective
• Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous
• Forward, backward and symmetric stochastic integration
• Itô's formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus
• Special weak Dirichlet processes and BSDEs driven by a random measure
• Generalized integration and stochastic ODEs
• The generalized covariation process and Itô formula
• Ito formula for \(C^ 1\)-functions of semimartingales
• \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
• Les processus de dirichlet et tant qu'espace de banach
• Local Time-Space Calculus for Reversible Semimartingales
• Elements of Stochastic Calculus via Regularization
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Weak Dirichlet processes with jumps