Purely pathwise probability-free Itô integral

DOI10.15330/MS.46.1.96-110zbMATH Open1373.60095arXiv1512.01698OpenAlexW2963059099MaRDI QIDQ2407968FDOQ2407968

Publication date: 6 October 2017

Published in: Matematychni Studiï (Search for Journal in Brave)

Abstract: This paper gives several simple constructions of the pathwise Ito integral

i n t_{0}^{t} p h i d o m e g a

for an integrand

p h i

and a price path

o m e g a

as integrator, with

p h i

and

o m e g a

satisfying various topological and analytical conditions. The definitions are purely pathwise in that neither

p h i

nor

o m e g a

are assumed to be paths of stochastic processes, and the Ito integral exists almost surely in a non-probabilistic financial sense. For example, one of the results shows the existence of

i n t_{0}^{t} p h i d o m e g a

for a cadlag integrand

p h i

and a cadlag integrator

o m e g a

with jumps bounded in a predictable manner.

Full work available at URL: https://arxiv.org/abs/1512.01698

Recommendations

zbMATH Keywords

quadratic variation box-counting dimension pathwise integration Itô's formula Itô integral

Mathematics Subject Classification ID

Sample path properties (60G17) Stochastic integrals (60H05)

Cited In (9)

This page was built for publication: Purely pathwise probability-free Itô integral

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2407968)