Pathwise stochastic integrals for model free finance (Q726748)

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Pathwise stochastic integrals for model free finance
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    Pathwise stochastic integrals for model free finance (English)
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    14 July 2016
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    In this paper, the authors use \textit{V. Vovk}'s [Finance Stoch. 16, No. 4, 561--609 (2012; Zbl 1262.91163)] game-theoretic approach to develop two different techniques of stochastic integration in frictionless model free financial mathematics. The first approach is based on Itô's integral and a certain topology induced by the outer measure corresponding to the minimal super-hedging price. The second approach is based on the controlled rough path integral, and has the disadvantage of restricting the space of integrands compared with the first one. However, the advantage is of not leaving the realm of Banach space theory. One of the advantages of both approaches is to use entirely financial arguments without using any probabilistic structure.
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    stochastic integrals
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    model free finance
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    Föllmer integration
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    rough paths
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    model uncertainty
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    outer measure
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