Back to Search Start Over

The It{\^o}-Tanaka Trick: a non-semimartingale approach

Authors :
Coutin, Laure
Duboscq, Romain
Réveillac, Anthony
Publication Year :
2019

Abstract

In this paper we provide an It{\^o}-Tanaka-Wentzell trick in a non semimartingale context. We apply this result to the study of a fractional SDE with irregular drift coefficient.

Subjects

Subjects :
Mathematics - Probability
Mathematics - Functional Analysis

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1907.03629
Document Type :
Working Paper

Tools

Authors Abstract Subjects Details