Purely pathwise probability-free Itô integral

DOI10.15330/MS.46.1.96-110MaRDI QIDQ2407968zbMATH OpenOpenAlexFDO

Authors Vladimir Vovk

Publication date 6 October 2017

Published in Matematychni Studiï (Search for Journal in Brave)

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

zbMATH Keywords

quadratic variationbox-counting dimensionpathwise integrationItô's formulaItô integral

Mathematics Subject Classification ID

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

Abstract: This paper gives several simple constructions of the pathwise Ito integral $in{t}_0^{t}phidomega$ for an integrand $phi$ and a price path $omega$ as integrator, with $phi$ and $omega$ satisfying various topological and analytical conditions. The definitions are purely pathwise in that neither $phi$ nor $omega$ 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 $in{t}_0^{t}phidomega$ for a cadlag integrand $phi$ and a cadlag integrator $omega$ with jumps bounded in a predictable manner.

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(9)

• Remarks on Föllmer's pathwise Itô calculus
• On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales
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• Stochastic integration and differential equations for typical paths
• On the quadratic variation of the model-free price paths with jumps
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• One-dimensional game-theoretic differential equations
• Pathwise stochastic integrals for model free finance
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