Natural decomposition of processes and weak Dirichlet processes

MaRDI QIDQ5294256zbMATH OpenFDO

Authors Adam Jakubowski, Leszek Slominski, François Coquet, Jean Mémin

Publication date 24 July 2007

Full work available at URL https://arxiv.org/abs/math/0403461

zbMATH Keywords

quadratic variationsemimartingalescovariationDirichlet processesweak Dirichlet processesmutual quadratic variationfinite energy processesItô's formulageneralized martingale convolution

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05)

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Cited in

(19)

• Weak approximations for Wiener functionals
• Rough semimartingales and \(p\)-variation estimates for martingale transforms
• On the structure of strong Markov continuous local Dirichlet processes
• On the roughness of the paths of RBM in a wedge
• Understanding the dual formulation for the hedging of path-dependent options with price impact
• 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
• Nonsemimartingales: stochastic differential equations and weak Dirichlet processes
• Are fractional Brownian motions predictable?
• On bifractional Brownian motion
• Infinite dimensional weak Dirichlet processes and convolution type processes
• Weak Dirichlet processes with jumps
• A Dirichlet process characterization of a class of reflected diffusions
• A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
• Weak Dirichlet processes with a stochastic control perspective
• \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
• Doob decomposition, Dirichlet processes, and entropies on Wiener space
• Weak Dirichlet processes and generalized martingale problems
• On pathwise quadratic variation for càdlàg functions

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