Decomposition of stochastic flows generated by Stratonovich SDEs with jumps

DOI10.3934/DCDSB.2016094zbMATH Open1353.60055arXiv1504.06562OpenAlexW2962879363MaRDI QIDQ727482FDOQ727482

Leandro Morgado, Paulo Ruffino, Alison M. Melo

Publication date: 7 December 2016

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

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.

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

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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)

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Cited In (4)

• Topology of foliations and decomposition of stochastic flows of diffeomorphisms
• Geometric aspects of Young integral: decomposition of flows
• Stochastic flow for SDEs with jumps and irregular drift term
• Title not available (Why is that?)

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