Stochastic integration and differential equations for typical paths

DOI10.1214/19-EJP343zbMath1467.60039arXiv1805.09652OpenAlexW2973557513MaRDI QIDQ2274218

Daniel Bartl, Michael Kupper, Ariel Neufeld

Publication date: 19 September 2019

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

Full work available at URL: https://arxiv.org/abs/1805.09652

zbMATH Keywords

pathwise stochastic integralFöllmer integrationVovk's outer measureinfinite dimensional stochastic calculuspathwise SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (5)

BDG inequalities and their applications for model-free continuous price paths with instant enforcement ⋮ On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ One-dimensional game-theoretic differential equations ⋮ Construction of special soliton solutions to the stochastic Riccati equation

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