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

DOI10.1007/S10986-018-9395-2zbMATH Open1414.60039arXiv1710.07894OpenAlexW2765785563MaRDI QIDQ1795403FDOQ1795403

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)

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.

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

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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)

Cites Work

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• A stopped Brownian motion formula
• Pathwise versions of the Burkholder-Davis-Gundy inequality
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• A superhedging approach to stochastic integration
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• On truncated variation, upward truncated variation and downward truncated variation for diffusions
• Purely pathwise probability-free Itô integral

Cited In (9)

• Quadratic variation and quadratic roughness
• Quadratic variation along refining partitions: constructions and examples
• Remarks on Föllmer's pathwise Itô calculus
• A superhedging approach to stochastic integration
• 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
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