The Itô-Tanaka Trick: a non-semimartingale approach

Laure Coutin (1) , Romain Duboscq (2) , Anthony Réveillac (2)

1 IMT - Institut de Mathématiques de Toulouse UMR5219
2 INSA Toulouse - Institut National des Sciences Appliquées - Toulouse

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

Mots clés: AMS Mathematics Subject Classification 2010: 60H07; 60H10 (Primary); 35A02 (Sec- ondary); 60G22

Domaines: Probabilités [math.PR]; Analyse fonctionnelle [math.FA]

Laure Coutin, Romain Duboscq, Anthony Réveillac. The Itô-Tanaka Trick: a non-semimartingale approach. 2019. ⟨hal-02176741v2⟩