Natural decomposition of processes and weak Dirichlet processes

zbMATH Open1139.60019arXivmath/0403461MaRDI QIDQ5294256FDOQ5294256

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

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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)

Cited In (19)

• Rough semimartingales and \(p\)-variation estimates for martingale transforms
• Weak approximations for Wiener functionals
• On the structure of strong Markov continuous local Dirichlet processes
• On the roughness of the paths of RBM in a wedge
• The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures
• Understanding the dual formulation for the hedging of path-dependent options with price impact
• Strong existence and uniqueness for stable stochastic differential equations with distributional drift
• Are fractional Brownian motions predictable?
• Nonsemimartingales: stochastic differential equations and weak Dirichlet processes
• 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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