Nonsemimartingales: stochastic differential equations and weak Dirichlet processes

DOI10.1214/009117906000000566zbMATH Open1127.60055arXivmath/0602384OpenAlexW2023086125MaRDI QIDQ879256FDOQ879256

Authors: Rosanna Coviello, Francesco Russo 

Publication date: 8 May 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $mathbbF$-semimartingale $M$ and a finite cubic variation process $xi$ which has the structure $Q+R$, where $Q$ is a finite quadratic variation process and $R$ is strongly predictable in some technical sense: that condition implies, in particular, that $R$ is weak Dirichlet, and it is fulfilled, for instance, when $R$ is independent of $M$. The method is based on a transformation which reduces the diffusion coefficient multiplying $xi$ to 1. We use generalized It^{o} and It^{o}--Wentzell type formulae. A similar method allows us to discuss existence and uniqueness theorem when $xi$ is a H"{o}lder continuous process and $sigma$ is only H"{o}lder in space. Using an It^{o} formula for reversible semimartingales, we also show existence of a solution when $xi$ is a Brownian motion and $sigma$ is only continuous.

Full work available at URL: https://arxiv.org/abs/math/0602384

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zbMATH Keywords

finite cubic variationsymmetric integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized stochastic processes (60G20) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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Cited In (12)

• Generalized covariation and extended Fukushima decomposition for Banach space-valued processes: applications to windows of Dirichlet processes
• Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
• Rough semimartingales and \(p\)-variation estimates for martingale transforms
• Weak approximations for Wiener functionals
• Well-posedness of the non-local conservation law by stochastic perturbation
• On stochastic calculus related to financial assets without semimartingales
• SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation
• Generalized covariation for Banach space valued processes, Itō formula and applications
• Clark-Ocone type formula for non-semimartingales with finite quadratic variation
• \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
• The covariation for Banach space valued processes and applications
• Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes

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