Paper detail

Decomposition of stochastic flows generated by Stratonovich SDEs with jumps

Consider a manifold $M$ endowed locally with a pair of complementary distributions $Δ^H \oplus Δ^V=TM$ and let $\text{Diff}(Δ^H, M)$ and $\text{Diff}(Δ^V, M)$ be the corresponding Lie subgroups generated by vector fields in the corresponding distributions. We decompose a stochastic flow with jumps, up to a stopping time, as $φ_t = ξ_t \circ ψ_t$, where $ξ_t \in \text{Diff}(Δ^H, M)$ and $ψ_t \in \text{Diff}(Δ^V, M)$. Our main result provides Stratonovich stochastic differential equations with jumps for each of these two components in the corresponding infinite dimensional Lie groups. We present an extension of the Itô-Ventzel-Kunita formula for stochastic flows with jumps generated by classical Marcus equation (as in Kurtz, Pardoux and Protter, Annales de L'I.H.P. section B, 1995, among others). The results here correspond to an extension of Catuogno, da Silva and Ruffino, Stoch. Dyn. 2013, where this decomposition was studied for the continuous case.