Weak Dirichlet processes with jumps

Elena Bandini and Francesco Russo

Stochastic Processes and their Applications, 2017, vol. 127, issue 12, 4139-4189

Abstract: This paper develops systematically the stochastic calculus via regularization in the case of jump processes. In particular one continues the analysis of real-valued càdlàg weak Dirichlet processes with respect to a given filtration. Such a process is the sum of a local martingale and an adapted process A such that [N,A]=0, for any continuous local martingale N. Given a function u:[0,T]×R→R, which is of class C0,1 (or sometimes less), we provide a chain rule type expansion for u(t,Xt) which stands in applications for a chain Itô type rule.

Keywords: Weak Dirichlet processes; Calculus via regularizations; Random measure; Stochastic integrals for jump processes; Orthogonality (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414917301035
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:12:p:4139-4189

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2017.04.001

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().