Weak Dirichlet processes with jumps

DOI10.1016/j.spa.2017.04.001zbMath1374.60163arXiv1512.06236OpenAlexW2213274059MaRDI QIDQ1679481

Elena Bandini, Francesco Russo

Publication date: 9 November 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.06236

zbMATH Keywords

orthogonalityrandom measureweak Dirichlet processescalculus via regularizationsstochastic integrals for jump processes

Mathematics Subject Classification ID

Related Items (8)

A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance ⋮ Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ Strong existence and uniqueness for stable stochastic differential equations with distributional drift ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Weak Dirichlet processes and generalized martingale problems ⋮ Special weak Dirichlet processes and BSDEs driven by a random measure ⋮ The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures ⋮ Stochastic systems with memory and jumps

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