Constructing functions with prescribed pathwise quadratic variation

DOI10.1016/J.JMAA.2016.04.056zbMath1343.60066arXiv1511.04678OpenAlexW2963314070MaRDI QIDQ281858

Alexander Schied, Yuliya S. Mishura

Publication date: 11 May 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.04678

zbMATH Keywords

support theoremdiffusionsFöllmer integralDoss-Sussman methodnowhere differentiabilitypathwise Itō differential equationpathwise quadratic variation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05)

Related Items (7)

Quadratic variation along refining partitions: constructions and examples ⋮ Model-Free Portfolio Theory and Its Functional Master Formula ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity ⋮ Remarks on Föllmer's pathwise Itô calculus ⋮ Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas ⋮ A limit theorem for Bernoulli convolutions and the \(\Phi \)-variation of functions in the Takagi class

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