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

DOI10.1007/s10986-018-9395-2zbMath1414.60039arXiv1710.07894OpenAlexW2765785563MaRDI QIDQ1795403

Lesiba Charles Galane, Rafał Marcin 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 variationcàdlàg price pathstruncated variationVovk's outer measurelebesque partition

Mathematics Subject Classification ID

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

Related Items (2)

Remarks on Föllmer's pathwise Itô calculus ⋮ One-dimensional game-theoretic differential equations

Cites Work

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• Itô calculus without probability in idealized financial markets
• Continuous-time trading and the emergence of probability
• Pathwise stochastic integrals for model free finance
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• A stopped Brownian motion formula
• A superhedging approach to stochastic integration
• Pathwise stochastic calculus with local times
• On truncated variation, upward truncated variation and downward truncated variation for diffusions
• Pathwise versions of the Burkholder-Davis-Gundy inequality
• Purely pathwise probability-free Itô integral
• Pathwise stochastic integration with finite variation processes uniformly approximating c\`{a}dl\`{a}g processes

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