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The Itô-Tanaka Trick: a non-semimartingale approach.
- Source :
-
ALEA. Latin American Journal of Probability & Mathematical Statistics . 2022, Vol. 19 Issue 1, p881-924. 44p. - Publication Year :
- 2022
-
Abstract
- In this paper we provide an Itô-Tanaka trick formula in a non semimartingale context, filling a gap in the theory of regularisation by noise. In a classical Brownian framework, the Itô-Tanaka trick links the time average of a function f along the solution to a Brownian SDE, with the solution of a Fokker-Planck PDE. Our main contribution is to provide such a link in a non-semimartingale framework, where the solution to the non-available PDE is replaced by a well-chosen random field. This allows us to improve well-posedness results for fractional SDEs with a singular drift coefficient. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 19800436
- Volume :
- 19
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- ALEA. Latin American Journal of Probability & Mathematical Statistics
- Publication Type :
- Academic Journal
- Accession number :
- 159201761
- Full Text :
- https://doi.org/10.30757/ALEA.v19-35