Weak Dirichlet processes with jumps

DOI10.1016/J.SPA.2017.04.001MaRDI QIDQ1679481zbMATHOpenAlexFDO

Authors 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

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

Abstract: This paper develops systematically the stochastic calculus via regularization in the case of jump processes. In particular one continues the analysis of real-valued c`adl`ag 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 $N$. Given a function $u:[0,T]imesmathbbRomathbbR$, which is of class $C^{0,1}$ (or sometimes less), we provide a chain rule type expansion for $u(t,X_t)$ which stands in applications for a chain It^o type rule.

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Cited in

(11)

• Weak Dirichlet processes with a stochastic control perspective
• 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
• Elements of Stochastic Calculus via Regularization
• Robustness of Delta Hedging in a Jump-Diffusion Model
• Stochastic systems with memory and jumps
• Infinite dimensional weak Dirichlet processes and convolution type processes
• The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures
• Strong existence and uniqueness for stable stochastic differential equations with distributional drift
• Special weak Dirichlet processes and BSDEs driven by a random measure
• Weak Dirichlet processes and generalized martingale problems

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