Nonsemimartingales: stochastic differential equations and weak Dirichlet processes

DOI10.1214/009117906000000566zbMath1127.60055arXivmath/0602384OpenAlexW2023086125MaRDI QIDQ879256

Francesco Russo, Rosanna Coviello

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)

Related Items (11)

Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions ⋮ GENERALIZED COVARIATION AND EXTENDED FUKUSHIMA DECOMPOSITION FOR BANACH SPACE-VALUED PROCESSES: APPLICATIONS TO WINDOWS OF DIRICHLET PROCESSES ⋮ Weak approximations for Wiener functionals ⋮ 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 ⋮ Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes ⋮ Clark-Ocone type formula for non-semimartingales with finite quadratic variation ⋮ Rough semimartingales and \(p\)-variation estimates for martingale transforms ⋮ The covariation for Banach space valued processes and applications ⋮ On stochastic calculus related to financial assets without semimartingales ⋮ Generalized covariation for Banach space valued processes, Itō formula and applications

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