Examples of It\^o c\`adl\`ag rough paths
Probability
2018-11-14 v2
Abstract
Based on a dyadic approximation of It\^o integrals, we show the existence of It\^o c\`adl\`ag rough paths above general semimartingales, suitable Gaussian processes and non-negative typical price paths. Furthermore, Lyons-Victoir extension theorem for c\`adl\`ag paths is presented, stating that every c\`adl\`ag path of finite -variation can be lifted to a rough path.
Cite
@article{arxiv.1709.05988,
title = {Examples of It\^o c\`adl\`ag rough paths},
author = {Chong Liu and David J. Prömel},
journal= {arXiv preprint arXiv:1709.05988},
year = {2018}
}
Comments
to appear in Proc. Amer. Math. Soc