The It{\^o}-Tanaka Trick: a non-semimartingale approach
Probability
2019-11-07 v2 Functional Analysis
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.
Cite
@article{arxiv.1907.03629,
title = {The It{\^o}-Tanaka Trick: a non-semimartingale approach},
author = {Laure Coutin and Romain Duboscq and Anthony Réveillac},
journal= {arXiv preprint arXiv:1907.03629},
year = {2019}
}