English

Pathwise integration with respect to paths of finite quadratic variation

Probability 2018-03-28 v3 Functional Analysis

Abstract

We study a pathwise integral with respect to paths of finite quadratic variation, defined as the limit of non-anticipative Riemann sums for gradient-type integrands. We show that the integral satisfies a pathwise isometry property, analogous to the well-known Ito isometry for stochastic integrals. This property is then used to represent the integral as a continuous map on an appropriately defined vector space of integrands. Finally, we obtain a pathwise 'signal plus noise' decomposition for regular functionals of an irregular path with non-vanishing quadratic variation, as a unique sum of a pathwise integral and a component with zero quadratic variation.

Keywords

Cite

@article{arxiv.1603.03305,
  title  = {Pathwise integration with respect to paths of finite quadratic variation},
  author = {Anna Ananova and Rama Cont},
  journal= {arXiv preprint arXiv:1603.03305},
  year   = {2018}
}

Comments

To appear in: Journal de Mathematiques Pures et Appliquees