On Non-Continuous Dirichlet Processes

François Coquet (), Jean Mémin () and Leszek Słomiński ()

Journal of Theoretical Probability, 2003, vol. 16, issue 1, 197-216

Abstract: Abstract We introduce here some Itô calculus for non-continuous Dirichlet processes. Such calculus extends what was known for continuous Dirichlet processes or for semimartingales. In particular we prove that non-continuous Dirichlet processes are stable under C 1 transformation.

Keywords: Non-continuous Dirichlet process; stochastic integral; Itô formula (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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DOI: 10.1023/A:1022238723289

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