Fractional Ito calculus

DOI10.1090/BTRAN/185MaRDI QIDQ6127680zbMATH OpenFDO

Authors Rama Cont

Publication date 14 April 2024

Published in Transactions of the American Mathematical Society, Series B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2111.13979

Mathematics Subject Classification ID

Lipschitz (Hölder) classes (26A16) Singular functions, Cantor functions, functions with other special properties (26A30) Fractional derivatives and integrals (26A33) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Rough analysis (60L99)

Abstract: We derive It^o-type change of variable formulas for smooth functionals of irregular paths with non-zero $p-$th variation along a sequence of partitions where $pgeq1$ is arbitrary, in terms of fractional derivative operators, extending the results of the F"ollmer-Ito calculus to the general case of paths with 'fractional' regularity. In the case where $p$ is not an integer, we show that the change of variable formula may sometimes contain a non-zero a 'fractional' It^o remainder term and provide a representation for this remainder term. These results are then extended to paths with non-zero $phi-$variation and multi-dimensional paths. Finally, we derive an isometry property for the pathwise F"ollmer integral in terms of $phi$ variation.

Cited in

(2)

• On isomorphism of the space of continuous functions with finite p-th variation along a partition sequence
• Model-free analysis of dynamic trading strategies

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