Pathwise stochastic integration and applications to the theory of continuous trading

DOI10.1016/0304-4149(89)90079-3zbMath0698.60043OpenAlexW2007992152MaRDI QIDQ912481

Walter Willinger, Murad S. Taqqu

Publication date: 1989

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(89)90079-3

zbMATH Keywords

stochastic integralpredictable processmartingale transformsstochastic finance theory

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Related Items (9)

Dynamic spanning without probabilities ⋮ A superhedging approach to stochastic integration ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ A càdlàg rough path foundation for robust finance ⋮ Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹ ⋮ A Nonstandard Approach to Option Pricing ⋮ From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing ⋮ Remarks on Föllmer's pathwise Itô calculus ⋮ Optimal consumption and arbitrage in incomplete, finite state security markets

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