Purely pathwise probability-free Itô integral

DOI10.15330/ms.46.1.96-110zbMath1373.60095arXiv1512.01698OpenAlexW2963059099MaRDI QIDQ2407968

Vladimir Vovk

Publication date: 6 October 2017

Published in: Matematychni Studiï (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.01698

zbMATH Keywords

Itô integralbox-counting dimensionquadratic variationItô's formulapathwise integration

Mathematics Subject Classification ID

Sample path properties (60G17) Stochastic integrals (60H05)

Related Items (7)

On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ Remarks on Föllmer's pathwise Itô calculus ⋮ Stochastic integration and differential equations for typical paths ⋮ Examples of Itô càdlàg rough paths ⋮ On the quadratic variation of the model-free price paths with jumps ⋮ One-dimensional game-theoretic differential equations

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