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On Non-Continuous Dirichlet Processes |
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| Authors: | François Coquet Jean Mémin Leszek S?omiński |
| Institution: | François Coquet, Jean Mémin and Leszek S omi ski |
| 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. |
| Keywords: | Non-continuous Dirichlet process stochastic integral Itô formula |
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