Weak Dirichlet processes and generalized martingale problems
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Abstract: In this paper we explain how the notion of weak Dirichlet process is the suitable generalization of the one of semimartingale with jumps. For such a process we provide a unique decomposition which is new also for semimartingales: in particular we introduce characteristics for weak Dirichlet processes. We also introduce a weak concept (in law) of finite quadratic variation. We investigate a set of new useful chain rules and we discuss a general framework of (possibly path-dependent with jumps) martingale problems with a set of examples of SDEs with jumps driven by a distributional drift.
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