Related papers: Purely pathwise probability-free Ito integral
It is known from previous work of the authors that non-negative arbitrage free price processes in finance can be described in terms of filtered likelihood processes of statistical experiments and vice versa. The present paper summarizes and…
In this paper we study the path-regularity and martingale properties of the set-valued stochastic integrals defined in our previous work Ararat et al. (2023). Such integrals have some fundamental differences from the well-known…
This paper deals with stochastic integrals of form $\int_0^T f(X_u)d Y_u$ in a case where the function $f$ has discontinuities, and hence the process $f(X)$ is usually of unbounded $p$-variation for every $p\geq 1$. Consequently,…
An Ito formula is developed in a context consistent with the development of abstract existence and unique- ness theorems for nonlinear stochastic partial differential equations, which are singular or degenerate. This is a generalization of…
Ito's Lemma implies that if $W$ is a Wiener process and $f$ is a twice continuously differentiable function, then the process $f(W)$ is the sum of a time integral and an Ito integral. The Ito integrand is not necessarily locally square…
We develop a Fourier approach to rough path integration, based on the series decomposition of continuous functions in terms of Schauder functions. Our approach is rather elementary, the main ingredient being a simple commutator estimate,…
A proposal for the path-integral of pure-spin-connection formulation of gravity is described, based on the two-form formulation of Capovilla et. al. It is shown that the resulting effective-action for the spin-connection, upon functional…
This paper blends two techniques recently developed in [2] and [3] to prove the presence of absolutely continuous spectrum for the multidimensional Schrodinger operator provided that the potential is summable over trajectory with positive…
We show how the robustness of gamma hedging can be understood without using rough-path theory. Instead, we use the concepts of $p^{th}$ variation along a partition sequence and Taylor's theorem directly, rather than defining an integral and…
Based on a rough path foundation, we develop a model-free approach to stochastic portfolio theory (SPT). Our approach allows to handle significantly more general portfolios compared to previous model-free approaches based on F{\"o}llmer…
An approach to infinite dimensional integration which unifies the case of oscillatory integrals and the case of probabilistic type integrals is presented. It provides a truly infinite dimensional construction of integrals as linear…
On a given Riemann surface, we construct a path integral based on the Liouville action functional with imaginary parameters. The construction relies on the compactified Gaussian Free Field (GFF), which we perturb with a curvature term and…
For $\alpha\in (0,1)$, we consider stochastic differential equations driven by one-sided stable processes of order $\alpha$: \[dX_t= \phi(X_{t-})\ dZ_t.\] We prove that pathwise uniqueness holds for this equation under the assumptions that…
We construct a new topology on the space of stopped paths and introduce a calculus for causal functionals on generic domains of this space. We propose a generic approach to pathwise integration without any assumption on the variation index…
We consider a class $\mathscr{X}$ of continuous functions on $[0,1]$ that is of interest from two different perspectives. First, it is closely related to sets of functions that have been studied as generalizations of the Takagi function.…
We give a mathematical definition of some path integrals, emphasizing those relevant to the quantization of symplectic manifolds (and more generally, Poisson manifolds) $\unicode{x2013}$ in particular, the coherent state path integral. We…
We show pathwise uniqueness for a class of degenerate It\^{o}-SDE among all of its weak solutions that spend zero time at the points of degeneracy of the dispersion matrix. Consequently, by the Yamada-Watanabe Theorem and a weak existence…
A method of path integral construction without gauge fixing in the holomorphic representation is proposed for finite-dimensional gauge models. This path integral determines a manifestly gauge-invariant kernel of the evolution operator.
The propagator for a certain class of two time-dependent coupled and driven harmonic oscillators with time-varying angular frequencies and masses is evaluated by path integration. This is simply done through suitably chosen generalized…
Path integral method in quantum mechanics provides a new thinking for barrier option pricing. For proportional step options, the option price changing process is similar to the one dimensional trapezoid potential barrier scattering problem…