A superhedging approach to stochastic integration
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Publication:1630662
DOI10.1016/j.spa.2018.01.009zbMath1417.60045arXiv1609.02349OpenAlexW2963508800MaRDI QIDQ1630662
Nicolas Perkowski, David J. Prömel, Rafał Marcin Łochowski
Publication date: 10 December 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1609.02349
stochastic integrationquadratic variationmodel-independent financecàdlàg pathpathwise stochastic calculusVovk's outer measure
Related Items (13)
Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations ⋮ A model‐free approach to continuous‐time finance ⋮ BDG inequalities and their applications for model-free continuous price paths with instant enforcement ⋮ On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ A càdlàg rough path foundation for robust finance ⋮ On pathwise quadratic variation for càdlàg functions ⋮ Remarks on Föllmer's pathwise Itô calculus ⋮ Stochastic integration and differential equations for typical paths ⋮ Examples of Itô càdlàg rough paths ⋮ Bilinear equations in Hilbert space driven by paths of low regularity ⋮ On the quadratic variation of the model-free price paths with jumps ⋮ One-dimensional game-theoretic differential equations
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