English

Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity

Probability 2019-05-07 v2 Classical Analysis and ODEs

Abstract

We construct a pathwise integration theory, associated with a change of variable formula, for smooth functionals of continuous paths with arbitrary regularity defined in terms of the notion of pp-th variation along a sequence of time partitions. For paths with finite pp-th variation along a sequence of time partitions, we derive a change of variable formula for pp times continuously differentiable functions and show pointwise convergence of appropriately defined compensated Riemann sums. Results for functions are extended to regular path-dependent functionals using the concept of vertical derivative of a functional. We show that the pathwise integral satisfies an `isometry' formula in terms of pp-th order variation and obtain a `signal plus noise' decomposition for regular functionals of paths with strictly increasing pp-th variation. For less regular (Cp1C^{p-1}) functions we obtain a Tanaka-type change of variable formula using an appropriately defined notion of local time. These results extend to multidimensional paths and yield a natural higher-order extension of the concept of `reduced rough path'. We show that, while our integral coincides with a rough-path integral for a certain rough path, its construction is canonical and does not involve the specification of any rough-path superstructure.

Keywords

Cite

@article{arxiv.1803.09269,
  title  = {Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity},
  author = {Rama Cont and Nicolas Perkowski},
  journal= {arXiv preprint arXiv:1803.09269},
  year   = {2019}
}
R2 v1 2026-06-23T01:04:19.994Z