Rough paths in idealized financial markets

DOI10.1007/s10986-011-9125-5zbMath1227.91040arXiv1005.0279OpenAlexW3101836082WikidataQ62046692 ScholiaQ62046692MaRDI QIDQ647162

Vladimir Vovk

Publication date: 1 December 2011

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.0279

zbMATH Keywords

incomplete marketscontinuous timegame-theoretic probabilitydiscontinuous price pathsvariation index

Mathematics Subject Classification ID

Sample path properties (60G17) Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (13)

The role of measurability in game-theoretic probability ⋮ Martingale optimal transport duality ⋮ Pathwise superreplication via Vovk's outer measure ⋮ Sequential optimizing strategy in multi-dimensional bounded forecasting games ⋮ BDG inequalities and their applications for model-free continuous price paths with instant enforcement ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ A càdlàg rough path foundation for robust finance ⋮ Itô calculus without probability in idealized financial markets ⋮ A new inequality for the Riemann-Stieltjes integrals driven by irregular signals in Banach spaces ⋮ Approximations and asymptotics of upper hedging prices in multinomial models ⋮ Continuous-time trading and the emergence of probability ⋮ Examples of Itô càdlàg rough paths ⋮ Pathwise no-arbitrage in a class of delta hedging strategies

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