Decomposition of stochastic flows generated by Stratonovich SDEs with jumps

DOI10.3934/DCDSB.2016094MaRDI QIDQ727482zbMATHOpenAlexFDO

Authors Paulo Ruffino, Alison M. Melo, Leandro Morgado

Publication date 7 December 2016

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.06562

zbMATH Keywords

diffeomorphism groupsemimartingalesstochastic flowsMarcus equationsmooth distributionsStratonovich stochastic diferential equations

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Groups of diffeomorphisms and homeomorphisms as manifolds (58D05) Diffusion processes and stochastic analysis on manifolds (58J65)

Abstract: Consider a manifold $M$ endowed locally with a pair of complementary distributions $Delt{a}^{H}oplusDelt{a}^V=TM$ and let $extDiff(Delt{a}^H,M)$ and $extDiff(Delt{a}^V,M)$ be the corresponding Lie subgroups generated by vector fields in the corresponding distributions. We decompose a stochastic flow with jumps, up to a stopping time, as $varph{i}_t=x{i}_{t}circps{i}_t$, where $x{i}_{t}inextDiff(Delt{a}^H,M)$ and $ps{i}_{t}inextDiff(Delt{a}^V,M)$. Our main result provides Stratonovich stochastic differential equations with jumps for each of these two components in the corresponding infinite dimensional Lie groups. We present an extension of the It^o-Ventzel-Kunita formula for stochastic flows with jumps generated by classical Marcus equation (as in Kurtz, Pardoux and Protter, Annales de L'I.H.P. section B, 1995, among others). The results here correspond to an extension of Catuogno, da Silva and Ruffino, Stoch. Dyn. 2013, where this decomposition was studied for the continuous case.

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• Topology of foliations and decomposition of stochastic flows of diffeomorphisms

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