On the quadratic variation of the model-free price paths with jumps

DOI10.1007/S10986-018-9395-2MaRDI QIDQ1795403zbMATH OpenOpenAlexFDO

Authors Lesiba Charles Galane, Rafał M. Łochowski, Farai Julius Mhlanga

Publication date 16 October 2018

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.07894

zbMATH Keywords

quadratic variationtruncated variationVovk's outer measurelebesque partitioncàdlàg price paths

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05) Financial applications of other theories (91G80)

Abstract: We prove that the model-free typical (in the sense of Vovk) c`adl`ag price paths with mildly restricted downward jumps possess quadratic variation which does not depend on the specific sequence of partitions as long as these partitions are obtained from stopping times such that the oscillations of a path on the consecutive (half-open on the right) intervals of these partitions tend (in a specified sense) to 0. Finally, we also define quasi-explicit, partition independent quantities which tend to this quadratic variation.

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Cites work

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Cited in

(9)

• Quadratic variation and quadratic roughness
• Quadratic variation along refining partitions: constructions and examples
• A superhedging approach to stochastic integration
• Remarks on Föllmer's pathwise Itô calculus
• BDG inequalities and their applications for model-free continuous price paths with instant enforcement
• Quadratic variation, models, applications and lessons
• One-dimensional game-theoretic differential equations
• Rough paths in idealized financial markets
• scientific article; zbMATH DE number 2058894 (Why is no real title available?)

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