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arXiv · 2407.17071

Characteristics and It{\^o}'s formula for weak Dirichlet processes: an equivalence result

Elena Bandini·Francesco Russo
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Abstract

The main objective consists in generalizing a well-known It{\^o} formula of J. Jacod and A. Shiryaev: given a c{\`a}dl{\`a}g process S, there is an equivalence between the fact that S is a semimartingale with given characteristics (B^k , C, $\nu$) and a It{\^o} formula type expansion of F (S), where F is a bounded function of class C2. This result connects weak solutions of path-dependent SDEs and related martingale problems. We extend this to the case when S is a weak Dirichlet process. A second aspect of the paper consists in discussing some untreated features of stochastic calculus for finite quadratic variation processes.

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Elena Bandini, Francesco Russo. 2024-07-24. Characteristics and It{\^o}'s formula for weak Dirichlet processes: an equivalence result. https://arxiv.org/abs/2407.17071

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