Related papers: Purely pathwise probability-free Ito integral
This article studies optional and predictable projections of integrands and convex-valued stochastic processes. The existence and uniqueness are shown under general conditions that are analogous to those for conditional expectations of…
We provide a very brief introduction to typical paths and the corresponding It\^o type integration. Relying on this robust It\^o integration, we prove an existence and uniqueness result for one-dimensional differential equations driven by…
We introduce a Skorokhod type integral and prove an Ito formula for a wide class of Gaussian processes which may exhibit stochastic discontinuities. Our Ito formula unifies and extends the classical one for general (i.e., possibly…
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 $p$-th variation along a sequence of time…
This paper introduces unified models for high-dimensional factor-based Ito process, which can accommodate both continuous-time Ito diffusion and discrete-time stochastic volatility (SV) models by embedding the discrete SV model in the…
We derive an Ito-type change-of-variables formula for Volterra Gaussian processes (including fractional Brownian motion with any Hurst parameter), based on the operator factorization framework. The Ito correction is expressed as a Stieltjes…
This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2, in this sense, typical price paths are not rougher than typical paths…
In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the…
We briefly review a hamiltonian path integral formalism developed earlier by one of us. An important feature of this formalism is that the path integral quantization in arbitrary co-ordinates is set up making use of only classical…
Let $\mu$ be a general stochastic measure, where we assume for $\mu$ only $\sigma$-additivity in probability and continuity of paths. We prove that the symmetric integral $\int_{[0,T]}f(\mu_t, t)\circ\,{\rm d}\mu_t$ is well defined. For…
This paper introduces a novel Ito diffusion process to model high-frequency financial data, which can accommodate low-frequency volatility dynamics by embedding the discrete-time non-linear exponential GARCH structure with log-integrated…
In this paper, we extend the first-order asymptotics analysis of Fouque et al. to general path-dependent financial derivatives using Dupire's functional Ito calculus. The main conclusion is that the market group parameters calibrated to…
We consider $\mathcal{PT}$-symmetric ring-like arrays of optical waveguides with purely nonlinear gain and loss. Regardless of the value of the gain-loss coefficient, these systems are protected from spontaneous $\mathcal{PT}$-symmetry…
We show how the induction law is correctly used in the path integral computation of the free particle propagator. The way this primary path integral example is treated in most textbooks is a little bit missleading.
From the path integral formalism for price fluctuations with non-Gaussian distributions I derive the appropriate stochastic calculus replacing Ito's calculus for stochastic fluctuations.
Based on the theory of c\`adl\`ag rough paths, we develop a pathwise approach to analyze stability and approximation properties of portfolios along individual price trajectories generated by standard models of financial markets. As a…
A comparison principle for stochastic integro-differential equations driven by Levy processes is proved. This result is obtained via an extension of an Ito formula from [11] for the square of the norm of the positive part of $L_2-$valued,…
Closely motivated by financial considerations, we develop an integration theory which is not classical i.e. it is not necessarily associated to a measure. The base space, denoted by $\mathcal{S}$ and called a trajectory space, substitutes…
For every adapted, c\`agl\`ad process (strategy) $G$ and typical c\`adl\`ag price paths whose jumps satisfy some mild growth condition we define integral $G\cdot S$ as a limit of simple integrals.
Ito equations are derived for simple stochastic cellular automaton with parameters and compared with results obtained from the histogram method. Good agreement for various parameters supports wide applicability of the Ito equation as a…