Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity

DOI10.1090/BTRAN/34zbMATH Open1478.60164arXiv1803.09269OpenAlexW3123344130WikidataQ128061770 ScholiaQ128061770MaRDI QIDQ4633760FDOQ4633760

Authors: Rama Cont, Nicolas Perkowski 

Publication date: 6 May 2019

Published in: Transactions of the American Mathematical Society, Series B (Search for Journal in Brave)

Abstract: We construct a pathwise integration theory, associated with a change of variable formula, for smooth functionals of continuous paths with arbitrary regularity defined in terms of the notion of $p$-th variation along a sequence of time partitions. For paths with finite $p$-th variation along a sequence of time partitions, we derive a change of variable formula for $p$ times continuously differentiable functions and show pointwise convergence of appropriately defined compensated Riemann sums. Results for functions are extended to regular path-dependent functionals using the concept of vertical derivative of a functional. We show that the pathwise integral satisfies an `isometry' formula in terms of $p$-th order variation and obtain a `signal plus noise' decomposition for regular functionals of paths with strictly increasing $p$-th variation. For less regular ($C^{p-1}$) functions we obtain a Tanaka-type change of variable formula using an appropriately defined notion of local time. These results extend to multidimensional paths and yield a natural higher-order extension of the concept of `reduced rough path'. We show that, while our integral coincides with a rough-path integral for a certain rough path, its construction is canonical and does not involve the specification of any rough-path superstructure.

Full work available at URL: https://arxiv.org/abs/1803.09269

Recommendations

• Pathwise integration with respect to paths of finite quadratic variation
• Path-dependent Itô formulas under \((p,q)\)-variations
• Local times for continuous paths of arbitrary regularity
• Change of variable formulas for non-anticipative functionals on path space
• Quasi-integrals and stochastic integration along sample paths

zbMATH Keywords

rough path integralrough-path superstructure

Mathematics Subject Classification ID

Stochastic integrals (60H05) Rough paths (60L20)

Cites Work

• Arbitrage with Fractional Brownian Motion
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Change of variable formulas for non-anticipative functionals on path space
• Differential equations driven by rough signals
• Controlling rough paths
• A course on rough paths. With an introduction to regularity structures
• Title not available (Why is that?)
• An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion
• Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• Title not available (Why is that?)
• \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
• A Remark on the 1/H-Variation of the Fractional Brownian Motion
• Title not available (Why is that?)
• Concrete functional calculus
• Stochastic integration with respect to fractional Brownian motion
• Title not available (Why is that?)
• Elements of Stochastic Calculus via Regularization
• Local times for typical price paths and pathwise Tanaka formulas
• Title not available (Why is that?)
• Pathwise stochastic integrals for model free finance
• Exact asymptotic estimates of Brownian path variation
• Stochastic calculus with respect to fractional Brownian motion
• On the quadratic variation process of a continuous martingale
• Pathwise integration with respect to paths of finite quadratic variation
• Generalised arc length for brownian motion and L�vy processes
• Pathwise stochastic calculus with local times
• Functional Kolmogorov equations

Cited In (26)

• A probabilistic approach to the \(\varPhi \)-variation of classical fractal functions with critical roughness
• A limit theorem for Bernoulli convolutions and the \(\Phi \)-variation of functions in the Takagi class
• Quadratic variation and quadratic roughness
• Weierstrass bridges
• Local times for continuous paths of arbitrary regularity
• Model‐free portfolio theory: A rough path approach
• A tree approach to \(p\)-variation and to integration
• Change of variable formulas for non-anticipative functionals on path space
• On the \(p\)th variation of a class of fractal functions
• Trading strategies generated pathwise by functions of market weights
• Stochastic integration and differential equations for typical paths
• Bilinear equations in Hilbert space driven by paths of low regularity
• A model‐free approach to continuous‐time finance
• Sobolev regularity of occupation measures and paths, variability and compositions
• Quasi-geometric rough paths and rough change of variable formula
• Term structure modeling under volatility uncertainty
• Local times and Tanaka-Meyer formulae for càdlàg paths
• Itô-Föllmer calculus in Banach spaces. I: The Itô formula
• Integration of both the derivatives with respect to \({\mathcal P}\)-paths and approximative derivatives
• Itô stochastic differentials
• Step roots of Littlewood polynomials and the extrema of functions in the Takagi class
• Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\)
• Pathwise integration with respect to paths of finite quadratic variation
• Pricing interest rate derivatives under volatility uncertainty
• Causal functional calculus
• On pathwise quadratic variation for càdlàg functions

This page was built for publication: Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4633760)