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On Non-Continuous Dirichlet Processes

Author

Listed:
  • François Coquet
  • Jean Mémin
  • Leszek Słomiński

Abstract

We introduce here some Itô calculus for non-continuous Dirichlet processes. Such calculus extends what was known for continuous Dirichlet processes or for semimartingales. In particular we prove that non-continuous Dirichlet processes are stable under C 1 transformation.

Suggested Citation

  • François Coquet & Jean Mémin & Leszek Słomiński, 2003. "On Non-Continuous Dirichlet Processes," Journal of Theoretical Probability, Springer, vol. 16(1), pages 197-216, January.
    • Handle: RePEc:spr:jotpro:v:16:y:2003:i:1:d:10.1023_a:1022238723289
    DOI: 10.1023/A:1022238723289
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    Cited by:

    1. Falkowski, Adrian & Słomiński, Leszek, 2022. "SDEs with two reflecting barriers driven by semimartingales and processes with bounded p-variation," Stochastic Processes and their Applications, Elsevier, vol. 146(C), pages 164-186.
    2. Andrzej Rozkosz, 2013. "Stochastic Representation of Weak Solutions of Viscous Conservation Laws: A BSDE Approach," Journal of Theoretical Probability, Springer, vol. 26(4), pages 1061-1083, December.
    3. Tomasz Klimsiak, 2013. "On Time-Dependent Functionals of Diffusions Corresponding to Divergence Form Operators," Journal of Theoretical Probability, Springer, vol. 26(2), pages 437-473, June.

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