Pathwise integration with respect to paths of finite quadratic variation
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Publication:2397623
Abstract: We study a pathwise integral with respect to paths of finite quadratic variation, defined as the limit of non-anticipative Riemann sums for gradient-type integrands. We show that the integral satisfies a pathwise isometry property, analogous to the well-known Ito isometry for stochastic integrals. This property is then used to represent the integral as a continuous map on an appropriately defined vector space of integrands. Finally, we obtain a pathwise 'signal plus noise' decomposition for regular functionals of an irregular path with non-vanishing quadratic variation, as a unique sum of a pathwise integral and a component with zero quadratic variation.
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Cited in
(24)- Quadratic variation and quadratic roughness
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- Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
- A tree approach to \(p\)-variation and to integration
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- On isomorphism of the space of continuous functions with finite p-th variation along a partition sequence
- On monotonic functionals over partially-ordered path spaces
- Causal functional calculus
- On pathwise quadratic variation for càdlàg functions
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