Pathwise integration with respect to paths of finite quadratic variation

DOI10.1016/j.matpur.2016.10.004zbMath1365.60056arXiv1603.03305OpenAlexW2294618471MaRDI QIDQ2397623

Rama Cont, Anna Ananova

Publication date: 23 May 2017

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.03305

zbMATH Keywords

quadratic variationstochastic integralpathwise integralRiemann sumsItô isometry

Mathematics Subject Classification ID

Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Stochastic integrals (60H05) Integration of real functions of several variables: length, area, volume (26B15)

Related Items (16)

Quadratic variation along refining partitions: constructions and examples ⋮ A superhedging approach to stochastic integration ⋮ Model-Free Portfolio Theory and Its Functional Master Formula ⋮ Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures ⋮ Causal functional calculus ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ Optimal Execution with Rough Path Signatures ⋮ On the stochastic differentiability of noncausal processes with respect to the process with quadratic variation ⋮ On pathwise quadratic variation for càdlàg functions ⋮ Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity ⋮ Weak differentiability of Wiener functionals and occupation times ⋮ Remarks on Föllmer's pathwise Itô calculus ⋮ Stochastic integration and differential equations for typical paths ⋮ Bilinear equations in Hilbert space driven by paths of low regularity ⋮ Non-parametric Pricing and Hedging of Exotic Derivatives ⋮ Quadratic variation and quadratic roughness

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