Pathwise stochastic calculus with local times

DOI10.1214/16-AIHP792zbMath1394.60032arXiv1508.05984OpenAlexW2964275451MaRDI QIDQ1635956

Pietro Siorpaes, Jan Obłój, Mark H. A. Davis

Publication date: 1 June 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.05984

zbMATH Keywords

random partitionsItô-Tanaka formulaBrownian variationpathwise local-time

Mathematics Subject Classification ID

Sample path properties (60G17) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Related Items (14)

Quadratic variation along refining partitions: constructions and examples ⋮ Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations ⋮ Efficient discretisation of stochastic differential equations ⋮ Causal functional calculus ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ On pathwise quadratic variation for càdlàg functions ⋮ Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity ⋮ Remarks on Föllmer's pathwise Itô calculus ⋮ Bilinear equations in Hilbert space driven by paths of low regularity ⋮ On the quadratic variation of the model-free price paths with jumps ⋮ Local times and Tanaka-Meyer formulae for càdlàg paths ⋮ Trading strategies generated pathwise by functions of market weights ⋮ Local times for continuous paths of arbitrary regularity ⋮ Quadratic variation and quadratic roughness

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