Related papers: Purely pathwise probability-free Ito integral
Using Vovk's outer measure, which corresponds to a minimal superhedging price, the existence of quadratic variation is shown for "typical price paths" in the space of c\`adl\`ag functions possessing a mild restriction on the jumps directed…
This paper introduces the path derivatives, in the spirit of Dupire's functional It\^o calculus, for the controlled paths in the rough path theory with possibly non-geometric rough paths. The theory allows us to deal with rough integration…
We develop a nonanticipative calculus for functionals of a continuous semimartingale, using an extension of the Ito formula to path-dependent functionals which possess certain directional derivatives. The construction is based on a pathwise…
We consider Constant Proportion Portfolio Insurance (CPPI) and its dynamic extension, which may be called Dynamic Proportion Portfolio Insurance (DPPI). It is shown that these investment strategies work within the setting of F\"ollmer's…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…
We propose a stochastic representation for a simple class of transport PDEs based on Ito representations. We detail an algorithm using an estimator stemming for the representation that, unlike regularization by noise estimators, is…
We investigate whether it is possible to formulate option pricing and hedging models without using probability. We present a model that is consistent with two notions of volatility: a historical volatility consistent with statistical…
We present a non-probabilistic, pathwise approach to continuous-time finance based on causal functional calculus. We introduce a definition of self-financing, free from any integration concept and show that the value of a self-financing…
Path integrals constitute powerful representations for both quantum and stochastic dynamics. Yet despite many decades of intensive studies, there is no consensus on how to formulate them for dynamics in curved space, or how to make them…
We propose a method to construct the stochastic integral simultaneously under a non-dominated family of probability measures. Path-by-path, and without referring to a probability measure, we construct a sequence of Lebesgue-Stieltjes…
Strong solutions of p-dimensional stochastic differential equations that can be represented locally in explicit simulation form are considered. The following three-way equivalence is established: 1) There exists such a representation from…
This thesis develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time finance, does not rely on stochastic integrals or other probabilistic…
This article introduces a certain class of stochastic processes, which we suggest to call mild Ito processes, and a new - somehow mild - Ito type formula for such processes. Examples of mild Ito processes are mild solutions of SPDEs and…
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…
Agreement of the probability current with the resolving paths requires a simplified forward equation for the (unique) Ito paths. Their increments are the most probable rather than expected ones, in accordance with an existing extremum…
Path integrals represent a powerful route to quantization: they calculate probabilities by summing over classical configurations of variables such as fields, assigning each configuration a phase equal to the action of that configuration.…
We define and investigate the properties of the jaggedness of path integral trajectories. The new quantity is shown to be scale invariant and to satisfy a self-averaging property. Jaggedness allows for a classification of path integral…
Path integrals are a ubiquitous tool in theoretical physics. However, their use is sometimes hindered by the lack of control on various manipulations -- such as performing a change of the integration path -- one would like to carry out in…
A specific class of explicitly time-dependent potentials is studied by means of path integrals. For this purpose a general formalism to treat explicitly time-dependent space-time transformations in path integrals is sketched. An explicit…
The continuous-time random walk (CTRW) is a pure-jump stochastic process with several applications in physics, but also in insurance, finance and economics. A definition is given for a class of stochastic integrals driven by a CTRW, that…