Pathwise stochastic integration with finite variation processes uniformly approximating c\`{a}dl\`{a}g processes

zbMath1298.60052arXiv1211.3868MaRDI QIDQ4980015

Rafał Marcin Łochowski

Publication date: 20 June 2014

Full work available at URL: https://arxiv.org/abs/1211.3868

zbMATH Keywords

stochastic integraltruncated variationdouble Skorokhod map

Mathematics Subject Classification ID

Sample path properties (60G17) Stochastic integrals (60H05) Martingales and classical analysis (60G46)

Related Items (4)

Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ On the quadratic variation of the model-free price paths with jumps ⋮ Local times and Tanaka-Meyer formulae for càdlàg paths ⋮ Integrability and concentration of the truncated variation for the sample paths of fractional Brownian motions, diffusions and Lévy processes

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