Itô calculus without probability in idealized financial markets
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Abstract: We consider idealized financial markets in which price paths of the traded securities are cadlag functions, imposing mild restrictions on the allowed size of jumps. We prove the existence of quadratic variation for typical price paths, where the qualification "typical" means that there is a trading strategy that risks only one monetary unit and brings infinite capital if quadratic variation does not exist. This result allows one to apply numerous known results in pathwise Ito calculus to typical price paths; we give a brief overview of such results.
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Cited in
(19)- Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations
- A superhedging approach to stochastic integration
- Remarks on Föllmer's pathwise Itô calculus
- On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales
- Continuous-time trading and the emergence of probability
- Relative genericity of controllablity and stabilizability for differential-algebraic systems
- A model‐free approach to continuous‐time finance
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