Stability in quadratic variation, with applications

Abstract

We show that non continuous Dirichlet processes, defined as in \cite{NonCont} are closed under a wide family of locally Lipschitz continuous maps (similar to the time-homogeneous variants of the maps considered in \cite{Low}) thus extending Theorem 2.1. from that paper. We provide an It\^o formula for these transforms and apply it to study of how $[f(X^n)-f(X)]\to 0$ when $X^n\to X$ (in some appropriate sense) for certain Dirichlet processes $\{X^n\}_n$, $X$ and certain locally Lipschitz continuous maps. We also consider how $[f_n(X^n)-f(X)]\to 0$ for $C^1$ maps $\{f_n\}_n$, $f$ when $f_n'\to f'$ uniformly on compacts. For applications we give examples of jump removal and stability of integrators.