Pathwise construction of stochastic integrals
From MaRDI portal
Publication:428755
DOI10.1214/ECP.V17-2099zbMATH Open1245.60054arXiv1108.2981OpenAlexW3102072412MaRDI QIDQ428755FDOQ428755
Authors: Marcel Nutz 
Publication date: 22 June 2012
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Abstract: We propose a method to construct the stochastic integral simultaneously under a non-dominated family of probability measures. Path-by-path, and without referring to a probability measure, we construct a sequence of Lebesgue-Stieltjes integrals whose medial limit coincides with the usual stochastic integral under essentially any probability measure such that the integrator is a semimartingale. This method applies to any predictable integrand.
Full work available at URL: https://arxiv.org/abs/1108.2981
Recommendations
aggregationG-expectationmedial limitnon-dominated modelpathwise stochastic integralsecond order BSDE
Cited In (58)
- A càdlàg rough path foundation for robust finance
- Wellposedness of second order reflected BSDEs: A new formulation
- A Lebesgue derivation theorem in the construction of the stochastic integral
- Representation of solutions to 2BSDEs in an extended monotonicity setting
- An abstract law of large numbers
- Second-order BSDEs with jumps: formulation and uniqueness
- Second-order BSDEs with general reflection and game options under uncertainty
- The maximum maximum of a martingale with given \(n\) marginals
- Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
- Good deal hedging and valuation under combined uncertainty about drift and volatility
- Stochastic analysis without probability: study of some basic tools
- A pointwise bipolar theorem
- Moral hazard under ambiguity
- Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
- Itô's calculus under sublinear expectations via regularity of PDEs and rough paths
- Second order backward SDE with random terminal time
- Robust utility maximization with nonlinear continuous semimartingales
- Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
- A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides
- Remarks on Föllmer's pathwise Itô calculus
- Some results on Skorokhod embedding and robust hedging with local time
- A superhedging approach to stochastic integration
- Stochastic control for a class of nonlinear kernels and applications
- Pathwise construction of tree-valued Fleming-Viot processes
- Reflected stochastic differential equations driven by \(G\)-Brownian motion in non-convex domains
- Reduced-form framework under model uncertainty
- Title not available (Why is that?)
- Incentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemic
- Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
- Stochastic integration and differential equations for typical paths
- Second order backward stochastic differential equations with quadratic growth
- Contract theory in a VUCA world
- Model uncertainty: a reverse approach
- Entropic Optimal Planning for Path-Dependent Mean Field Games
- Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs
- Superreplication under model uncertainty in discrete time
- Density analysis of non-Markovian BSDEs and applications to biology and finance
- Random Horizon Principal-Agent Problems
- Purely pathwise probability-free Itô integral
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
- Duality theory for robust utility maximisation
- The descriptive complexity of stochastic integration
- Itô-Föllmer calculus in Banach spaces. I: The Itô formula
- Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
- On a certain property of paths of extended stochastic integrals
- Pathwise stochastic integration and applications to the theory of continuous trading
- Pathwise stochastic integrals for model free finance
- Controlled diffusion mean field games with common noise and McKean-Vlasov second order backward SDEs
- Pathwise strategies for stochastic differential games with an erratum to ``Stochastic differential games with asymmetric information
- Dynamic programming approach to principal-agent problems
- On pathwise stochastic integration with respect to semimartingales
- Optimal contracting under mean-volatility joint ambiguity uncertainties
- Robust superhedging with jumps and diffusion
- Pathwise integration with respect to paths of finite quadratic variation
- Outer measures and stochastic integrals
- Second order reflected backward stochastic differential equations
- An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix
This page was built for publication: Pathwise construction of stochastic integrals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q428755)
