Pathwise stochastic calculus with local times
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Publication:1635956
DOI10.1214/16-AIHP792zbMath1394.60032arXiv1508.05984OpenAlexW2964275451MaRDI QIDQ1635956
Pietro Siorpaes, Jan Obłój, Mark H. A. Davis
Publication date: 1 June 2018
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.05984
Sample path properties (60G17) Stochastic integrals (60H05) Local time and additive functionals (60J55)
Related Items (14)
Quadratic variation along refining partitions: constructions and examples ⋮ Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations ⋮ Efficient discretisation of stochastic differential equations ⋮ Causal functional calculus ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ On pathwise quadratic variation for càdlàg functions ⋮ Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity ⋮ Remarks on Föllmer's pathwise Itô calculus ⋮ Bilinear equations in Hilbert space driven by paths of low regularity ⋮ On the quadratic variation of the model-free price paths with jumps ⋮ Local times and Tanaka-Meyer formulae for càdlàg paths ⋮ Trading strategies generated pathwise by functions of market weights ⋮ Local times for continuous paths of arbitrary regularity ⋮ Quadratic variation and quadratic roughness
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