Nonsemimartingales: Stochastic differential equations and weak Dirichlet processes
Coviello, Rosanna ; Russo, Francesco
Ann. Probab., Tome 35 (2007) no. 1, p. 255-308 / Harvested from Project Euclid
In 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.
Publié le : 2007-01-14
Classification:  Finite cubic variation,  Itô–Wentzell formula,  stochastic differential equation,  Hölder processes,  fractional Brownian motion,  weak Dirichlet processes,  60H05,  60H10,  60G18,  60G20
@article{1174324130,
     author = {Coviello, Rosanna and Russo, Francesco},
     title = {Nonsemimartingales: Stochastic differential equations and weak Dirichlet processes},
     journal = {Ann. Probab.},
     volume = {35},
     number = {1},
     year = {2007},
     pages = { 255-308},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1174324130}
}
Coviello, Rosanna; Russo, Francesco. Nonsemimartingales: Stochastic differential equations and weak Dirichlet processes. Ann. Probab., Tome 35 (2007) no. 1, pp.  255-308. http://gdmltest.u-ga.fr/item/1174324130/