Stochastic calculus via regularization, generalized Dirichlet processes and applications

We aim at presenting some aspects of stochastic calculus via regularization

in relation with integrator processes which are generally not semimartingales.

Significant examples of those processes are Dirichlet processes, Lyons-Zheng

processes and fractional (resp. bifractional) Brownian motion. A Dirichlet

process X is the sum of a local martingale M and a zero quadratic variation

process A. We will put the emphasis on a generalization of Dirichlet processes.

A weak Dirichlet process is the sum of local martingale M and a process A such

that [A,N] = 0 where N is any martingale with respect to an underlying

filtration. Obviously a Dirichlet process is a weak Dirichlet process. We will

illustrate partly the following application fields.

Analysis of stochastic integrals related to fluidodynamical models considered

for instance by A. Chorin, F. Flandoli and coauthors...

Stochastic differential equations with distributional drift and related

stochastic control theory.

The talk will partially cover joint works with M. Errami, F. Flandoli, F.

Gozzi, G. Trutnau.