scientific article; zbMATH DE number 3721834

zbMATH Open0461.60074MaRDI QIDQ3911166FDOQ3911166

Authors: Hans Föllmer 

Publication date: 1981

Full work available at URL: http://www.numdam.org/item?id=SPS_1981__15__143_0

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zbMATH Keywords

quadratic variation

Mathematics Subject Classification ID

Stochastic integrals (60H05) Functions of one variable (26A99)

Cited In (only showing first 100 items - show all)

• A probabilistic approach to the \(\varPhi \)-variation of classical fractal functions with critical roughness
• Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients
• On the existence of SLE trace: finite energy drivers and non-constant \(\kappa \)
• Wellposedness of second order backward SDEs
• Towards three-dimensional conformal probability
• Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion
• A generic decomposition formula for pricing vanilla options under stochastic volatility models
• Local times for continuous paths of arbitrary regularity
• Ambiguous volatility, possibility and utility in continuous time
• Change of variable formulas for non-anticipative functionals on path space
• On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity
• Constructing functions with prescribed pathwise quadratic variation
• A two-sided stochastic integral and its calculus
• Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
• On the \(p\)th variation of a class of fractal functions
• On a class of generalized Takagi functions with linear pathwise quadratic variation
• On arbitrage and Markovian short rates in fractional bond markets
• A superhedging approach to stochastic integration
• A functional extension of the Ito formula
• Functional Itō calculus and stochastic integral representation of martingales
• Extensions of the sewing lemma with applications
• Pathwise stochastic calculus with local times
• Time-changed local martingales under signed measures
• Stochastic integration and differential equations for typical paths
• A model‐free approach to continuous‐time finance
• Dynamic spanning without probabilities
• Tempered generalized functions and Hermite expansions
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• Nonsemimartingales: stochastic differential equations and weak Dirichlet processes
• Efficient discretisation of stochastic differential equations
• On bifractional Brownian motion
• Dual formulation of second order target problems
• Pathwise integrals and Itô-Tanaka formula for Gaussian processes
• Model-free CPPI
• On stochastic calculus related to financial assets without semimartingales
• Local times and Tanaka-Meyer formulae for càdlàg paths
• Itô-Föllmer calculus in Banach spaces. I: The Itô formula
• The generalized covariation process and Itô formula
• Financial options and statistical prediction intervals
• Financial modelling with multivariate mixed fractional Brownian motion
• Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model
• Pathwise no-arbitrage in a class of delta hedging strategies
• Wiener integrals, Malliavin calculus and covariance measure structure
• Generalized covariation for Banach space valued processes, Itō formula and applications
• Weak Dirichlet processes with jumps
• Pathwise superreplication via Vovk's outer measure
• A Dirichlet process characterization of a class of reflected diffusions
• An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
• A simple proof of functional Itô's lemma for semimartingales with an application
• Stochastic calculus for continuous additive functionals of zero energy
• Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Weak Dirichlet processes with a stochastic control perspective
• Probabilistic aspects of finance
• The evolution of a random vortex filament
• Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem
• \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
• Stochastic calculus of variations for stochastic partial differential equations
• Generalized integration and stochastic ODEs
• Stochastic integration with respect to additive functionals of zero quadratic variation
• Differential equations driven by rough paths with jumps
• Stochastic representation of diffusions corresponding to divergence form operators
• Stochastic calculus with respect to Gaussian processes
• Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
• Pathwise integration with respect to paths of finite quadratic variation
• Itô calculus without probability in idealized financial markets
• Causal functional calculus
• Fractional integrals, derivatives and integral equations with weighted Takagi–Landsberg functions
• Uncertain volatility and the risk-free synthesis of derivatives
• Solutions of stochastic partial differential equations considered as Dirichlet processes
• A limit theorem for Bernoulli convolutions and the \(\Phi \)-variation of functions in the Takagi class
• Quadratic variation and quadratic roughness
• Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations
• Model‐free portfolio theory: A rough path approach
• Pathwise superhedging on prediction sets
• Quadratic variation along refining partitions: constructions and examples
• CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS
• Remarks on Föllmer's pathwise Itô calculus
• Double dimers, conformal loop ensembles and isomonodromic deformations
• Stochastic calculus for Markov processes associated with semi-Dirichlet forms
• Trading strategies generated pathwise by functions of market weights
• Model-free portfolio theory and its functional master formula
• On the roughness of the paths of RBM in a wedge
• Option pricing models without probability: a rough paths approach
• Stochastic sequential reduction of commutative Hamiltonians
• Bilinear equations in Hilbert space driven by paths of low regularity
• Forward integrals and SDE with fractal noise
• A brief and personal history of stochastic partial differential equations
• Weak and strong discrete-time approximation of fractional SDEs
• A càdlàg rough path foundation for robust finance
• Quasi-geometric rough paths and rough change of variable formula
• Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time
• On the quadratic variation of the model-free price paths with jumps
• The asymptotic expansion of the regular discretization error of Itô integrals
• Step roots of Littlewood polynomials and the extrema of functions in the Takagi class
• Duality for pathwise superhedging in continuous time
• One-dimensional game-theoretic differential equations
• Long-range dependent completely correlated mixed fractional Brownian motion
• Weak Dirichlet processes and generalized martingale problems
• On pathwise quadratic variation for càdlàg functions

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