Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
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 -th variation along a sequence of time partitions. For paths with finite -th variation along a sequence of time partitions, we derive a change of variable formula for 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 -th order variation and obtain a `signal plus noise' decomposition for regular functionals of paths with strictly increasing -th variation. For less regular () 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.
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}
}