Pathwise integrals and Itô-Tanaka formula for Gaussian processes

DOI10.1007/s10959-014-0588-2zbMath1346.60079arXiv1307.3578OpenAlexW1968126671MaRDI QIDQ300290

Tommi Sottinen, Lauri Viitasaari

Publication date: 27 June 2016

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.3578

zbMATH Keywords

Gaussian processesmathematical financeFöllmer integralgeneralized Lebesgue-Stieltjes integralItô-Tanaka formulapathwise stochastic integrals

Mathematics Subject Classification ID

Gaussian processes (60G15) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items

Extensions of the sewing lemma with applications, Pathwise stochastic calculus with local times, On sharp rate of convergence for discretization of integrals driven by fractional Brownian motions and related processes with discontinuous integrands, Integral representation of random variables with respect to Gaussian processes, On pathwise Riemann-Stieltjes integrals

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