Constructing functions with prescribed pathwise quadratic variation
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Abstract: We construct rich vector spaces of continuous functions with prescribed curved or linear pathwise quadratic variations. We also construct a class of functions whose quadratic variation may depend in a local and nonlinear way on the function value. These functions can then be used as integrators in F"ollmer's pathwise It=o calculus. Our construction of the latter class of functions relies on an extension of the Doss--Sussman method to a class of nonlinear It=o differential equations for the F"ollmer integral. As an application, we provide a deterministic variant of the support theorem for diffusions. We also establish that many of the constructed functions are nowhere differentiable.
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Cited in
(8)- A limit theorem for Bernoulli convolutions and the \(\Phi \)-variation of functions in the Takagi class
- On (signed) Takagi-Landsberg functions: pth variation, maximum, and modulus of continuity
- Quadratic variation along refining partitions: constructions and examples
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