The associativity rule in pathwise functional It\^o calculus
Probability
2018-05-23 v5 Functional Analysis
Abstract
In this paper we establish the associativity property of the pathwise It\^o integral in a functional setting for continuous integrators. Here, associativity refers to the computation of the It\^o differential of an It\^o integral, by means of the intuitive cancellation of the It\^o differential and integral signs.
Keywords
Cite
@article{arxiv.1605.08861,
title = {The associativity rule in pathwise functional It\^o calculus},
author = {Alexander Schied and Iryna Voloshchenko},
journal= {arXiv preprint arXiv:1605.08861},
year = {2018}
}