On pathwise quadratic variation for càdlàg functions

DOI10.1214/18-ECP186zbMath1406.60082arXiv1806.07290MaRDI QIDQ1725475

Rama Cont, Henry Chiu

Publication date: 14 February 2019

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.07290

zbMATH Keywords

Skorokhod topologyquadratic variationsemimartingaleItō formulacadlag functionspathwise integrationpathwise calculus

Mathematics Subject Classification ID

Stochastic integrals (60H05) Special properties of functions of several variables, Hölder conditions, etc. (26B35)

Related Items (6)

Quadratic variation along refining partitions: constructions and examples ⋮ A model‐free approach to continuous‐time finance ⋮ Causal functional calculus ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ Local times and Tanaka-Meyer formulae for càdlàg paths ⋮ Quadratic variation and quadratic roughness

Cites Work

• Itô calculus without probability in idealized financial markets
• On a class of generalized Takagi functions with linear pathwise quadratic variation
• A functional extension of the Ito formula
• Change of variable formulas for non-anticipative functionals on path space
• On the Skorokhod topology
• A superhedging approach to stochastic integration
• Pathwise stochastic calculus with local times
• On non-continuous Dirichlet processes
• Pathwise integration with respect to paths of finite quadratic variation
• Local times for typical price paths and pathwise Tanaka formulas
• Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
• Real Analysis and Probability
• Weak approximation of martingale representations
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