Nonsemimartingales: stochastic differential equations and weak Dirichlet processes

DOI10.1214/009117906000000566MaRDI QIDQ879256zbMATHOpenAlexFDO

Authors Rosanna Coviello, Francesco Russo

Publication date 8 May 2007

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

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

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)

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.

Recommendations

• \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
• On weak and strong solutions of an integral equation driven by a continuous \(p\)-semimartingale
• scientific article; zbMATH DE number 3944976
• Stratonovich stochastic differential equations driven by general semimartingales
• Stochastic integral equations without probability

Cites work

• scientific article; zbMATH DE number 3721834 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 2096694 (Why is no real title available?)
• An inequality of the Hölder type, connected with Stieltjes integration
• Calcul stochastique et problèmes de martingales
• Controlling rough paths
• Curvilinear integrals along enriched paths
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Elements of Stochastic Calculus via Regularization
• Generalized calculus and sdes with non regular drift
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• Good rough path sequences and applications to anticipating stochastic calculus
• Integration with respect to fractal functions and stochastic calculus. I
• Integration with respect to fractal functions and stochastic calculus. II
• Ito formula for \(C^ 1\)-functions of semimartingales
• Natural decomposition of processes and weak Dirichlet processes
• On bifractional Brownian motion
• On fractional Brownian processes
• On solutions of one-dimensional stochastic differential equations without drift
• Quadratic covariation and an extension of Itô's formula
• Regularization of differential equations by fractional noise.
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Stochastic calculus with respect to continuous finite quadratic variation processes
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• System Control and Rough Paths
• The generalized covariation process and Itô formula
• Weak Dirichlet processes with a stochastic control perspective
• \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
• \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.

Cited in

(12)

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

This page was built for publication: Nonsemimartingales: stochastic differential equations and weak Dirichlet processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q879256)