Pathwise integration with respect to paths of finite quadratic variation

DOI10.1016/J.MATPUR.2016.10.004zbMATH Open1365.60056arXiv1603.03305OpenAlexW2294618471MaRDI QIDQ2397623FDOQ2397623

Rama Cont, Anna Ananova

Publication date: 23 May 2017

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1603.03305

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zbMATH Keywords

quadratic variation[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+isometry&go=Go It�� isometry]stochastic integralpathwise integralRiemann sums

Mathematics Subject Classification ID

Stochastic integrals (60H05) Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Integration of real functions of several variables: length, area, volume (26B15)

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Cited In (19)

• Quadratic variation and quadratic roughness
• 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
• Two-parameter \(p,q\)-variation paths and integrations of local times
• Quadratic variation along refining partitions: constructions and examples
• Remarks on Föllmer's pathwise Itô calculus
• A superhedging approach to stochastic integration
• Non-parametric Pricing and Hedging of Exotic Derivatives
• Stochastic integration and differential equations for typical paths
• Bilinear equations in Hilbert space driven by paths of low regularity
• On the stochastic differentiability of noncausal processes with respect to the process with quadratic variation
• Itô-Föllmer calculus in Banach spaces. I: The Itô formula
• Integration of both the derivatives with respect to \({\mathcal P}\)-paths and approximative derivatives
• Optimal Execution with Rough Path Signatures
• Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
• Weak differentiability of Wiener functionals and occupation times
• Model-Free Portfolio Theory and Its Functional Master Formula
• Causal functional calculus
• On pathwise quadratic variation for càdlàg functions

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