Constructing functions with prescribed pathwise quadratic variation (Q281858)

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Constructing functions with prescribed pathwise quadratic variation
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    Statements

    title
    Constructing functions with prescribed pathwise quadratic variation (English)
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    author
    Alexander Schied
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    Yuliya S. Mishura
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    publication date
    11 May 2016
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    zbMATH Keywords
    pathwise quadratic variation
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    Föllmer integral
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    pathwise Itō differential equation
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    Doss-Sussman method
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    diffusions
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    support theorem
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    nowhere differentiability
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    cites work
    Q3269421
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    Q4131410
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    Q3721531
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    Q3911166
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    Q4408025
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    Q3966879
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    Q4003243
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    Q4767350
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    Q4136031
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    Q5526189
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    Model-free CPPI
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    Q2897328
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    Identifiers

    Mathematics Subject Classification ID
    60H05
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    60H10
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    60J60
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    zbMATH DE Number
    6579269
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    OpenAlex ID
    W2963314070
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    arXiv ID
    1511.04678
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