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 (5)

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

Cites Work

• Integration with respect to fractal functions and stochastic calculus. I
• Differential equations driven by fractional Brownian motion
• Tanaka formula for the fractional Brownian motion.
• Pricing by hedging and no-arbitrage beyond semimartingales
• Rate of convergence for discretization of integrals with respect to fractional Brownian motion
• Introduction to stochastic calculus for finance. A new didactic approach.
• An inequality of the Hölder type, connected with Stieltjes integration
• On hedging European options in geometric fractional Brownian motion market model
• On arbitrage and replication in the fractional Black–Scholes pricing model
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