Stability in quadratic variation, with applications

arXiv2011.14151MaRDI QIDQ6354751FDOQ6354751

Authors: Philip Kennerberg, Magnus Wiktorsson 

Publication date: 28 November 2020

Abstract: We show that non continuous Dirichlet processes, defined as in cite{NonCont} are closed under a wide family of locally Lipschitz continuous maps (similar to the time-homogeneous variants of the maps considered in cite{Low}) thus extending Theorem 2.1. from that paper. We provide an It^o formula for these transforms and apply it to study of how $[f(X^n)-f(X)]o0$ when $X^{n}oX$ (in some appropriate sense) for certain Dirichlet processes ${X^n}_n$, $X$ and certain locally Lipschitz continuous maps. We also consider how $[f_n(X^n)-f(X)]o0$ for $C^1$ maps ${f_n}_n$, $f$ when ${f_n}^{\prime }o{f}^{\prime }$ uniformly on compacts. For applications we give examples of jump removal and stability of integrators.

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