A generalized class of Lyons-Zheng processes
Russo, Francesco ; Vallois, Pierre ; Wolf, Jochen
Bernoulli, Tome 7 (2001) no. 6, p. 363-379 / Harvested from Project Euclid
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Generalizing work by Lyons and Zheng, we study Dirichlet processes admitting a decomposition into the sum of a forward and a backward local martingale plus a bounded variation process. We develop a framework of stochastic calculus for these processes and deal with existence and uniqueness for stochastic differential equations driven by such processes. In particular, Bessel processes turn out to be an interesting example of Lyons-Zheng processes.
Publié le : 2001-04-14
Classification:  Bessel processes,  Dirichlet processes,  time reversal 
@article{1080222085,
     author = {Russo, Francesco and Vallois, Pierre and Wolf, Jochen},
     title = {A generalized class of Lyons-Zheng processes},
     journal = {Bernoulli},
     volume = {7},
     number = {6},
     year = {2001},
     pages = { 363-379},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1080222085}
}

Russo, Francesco; Vallois, Pierre; Wolf, Jochen. A generalized class of Lyons-Zheng processes. Bernoulli, Tome 7 (2001) no. 6, pp.  363-379. http://gdmltest.u-ga.fr/item/1080222085/