Remarks on Föllmer's pathwise Itô calculus
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Publication:2272807
Abstract: We extend some results about F"ollmer's pathwise It^o calculus that have only been derived for continuous paths to c`adl`ag paths with quadratic variation. We study some fundamental properties of pathwise It^o integrals with respect to c`adl`ag integrators, especially associativity and the integration by parts formula. Moreover, we study integral equations with respect to pathwise It^o integrals. We prove that some classes of integral equations, which can be explicitly solved in the usual stochastic calculus, can also be solved within the framework of F"ollmer's calculus.
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Cited in
(10)- Bilinear equations in Hilbert space driven by paths of low regularity
- Local times and Tanaka-Meyer formulae for càdlàg paths
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- Constructing functions with prescribed pathwise quadratic variation
- Recovering the pathwise Itô solution from averaged Stratonovich solutions
- Examples of Itô Càdlàg rough paths
- Set-Indexed Itô Calculus Along Paths
- Causal functional calculus
- Itô-Föllmer calculus in Banach spaces. I: The Itô formula
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