Nonsemimartingales: Stochastic differential equations and weak Dirichlet processes

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dc.creatorCoviello, Rosanna
dc.creatorRusso, Francesco
dc.date2006-02-17
dc.date2007-03-27
dc.date.accessioned2026-07-07T07:53:50Z
dc.date.available2026-07-07T07:53:50Z
dc.descriptionIn this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $\mathbb{F}$-semimartingale $M$ and a finite cubic variation process $ξ$ which has the structure $Q+R$, where $Q$ is a finite quadratic variation process and $R$ is strongly predictable in some technical sense: that condition implies, in particular, that $R$ is weak Dirichlet, and it is fulfilled, for instance, when $R$ is independent of $M$. The method is based on a transformation which reduces the diffusion coefficient multiplying $ξ$ to 1. We use generalized Itô and Itô--Wentzell type formulae. A similar method allows us to discuss existence and uniqueness theorem when $ξ$ is a Hölder continuous process and $σ$ is only Hölder in space. Using an Itô formula for reversible semimartingales, we also show existence of a solution when $ξ$ is a Brownian motion and $σ$ is only continuous.
dc.descriptionPublished at http://dx.doi.org/10.1214/009117906000000566 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0602384
dc.identifierhttp://arxiv.org/abs/math/0602384
dc.identifierAnnals of Probability 2007, Vol. 35, No. 1, 255-308
dc.identifierdoi:10.1214/009117906000000566
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/126373
dc.subjectProbability
dc.subject60H05, 60H10 (Primary) 60G18, 60G20 (Secondary)
dc.titleNonsemimartingales: Stochastic differential equations and weak Dirichlet processes
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