Related papers: A C\`adl\`ag Rough Path Foundation for Robust Fina…

Based on a dyadic approximation of It\^o integrals, we show the existence of It\^o c\`adl\`ag rough paths above general semimartingales, suitable Gaussian processes and non-negative typical price paths. Furthermore, Lyons-Victoir extension…

We present two different approaches to stochastic integration in frictionless model free financial mathematics. The first one is in the spirit of It\^o's integral and based on a certain topology which is induced by the outer measure…

We develop a general framework for pathwise stochastic integration that extends F\"ollmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums and provides pathwise counterparts of It\^o, Stratonovich,…

The existence of unique solutions is established for rough differential equations (RDEs) with path-dependent coefficients and driven by c\`adl\`ag rough paths. Moreover, it is shown that the associated solution map, also known as…

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…

The theory of rough paths arose from a desire to establish continuity properties of ordinary differential equations involving terms of low regularity. While essentially an analytic theory, its main motivation and applications are in…

Rough paths theory allows for a pathwise theory of solutions to differential equations driven by highly irregular signals. The fundamental observation of rough paths theory is that if one can define "iterated integrals" above a signal, then…

Rough paths techniques give the ability to define solutions of stochastic differential equations driven by signals $X$ which are not semimartingales and whose $p$-variation is finite only for large values of $p$. In this context, rough…

Built to generalise classical stochastic calculus, rough path theory provides a natural and pathwise framework to model continuous non-semimartingale assets. This paper investigates the capacity of this framework to support frictionless…

We establish a universal approximation theorem for signatures of rough paths that are not necessarily weakly geometric. By extending the path with time and its rough path bracket terms, we prove that linear functionals of the signature of…

Solutions to linear controlled differential equations can be expressed in terms of iterated path integrals of the driving path. This collection of iterated integrals encodes essentially all information about the driving path. While upper…

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…

Using truncated variation techniques we obtain an improved version of the Loeve-Young inequality for the Riemann-Stieltjes integrals driven by rough paths. This allowed us to strenghten some result on the existence of solutions of integral…

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 variant of rough path theory tailor-made for analyzing a class of financial asset price models known as rough volatility models. As an application, we prove a pathwise large deviation principle (LDP) for a certain class of…

This paper develops an It\^o-type fractional pathwise integration theory for fractional Brownian motion with Hurst parameters \( H \in (\frac{1}{3}, \frac{1}{2}] \), using the Lyons' rough path framework. This approach is designed to fill…

Rough path analysis can be developed using the concept of controlled paths, and with respect to a topology in which L\'evy's area plays a role. For vectors of irregular paths we investigate the relationship between the property of being…

We provide a theory of manifold-valued rough paths of bounded 3 > p-variation, which we do not assume to be geometric. Rough paths are defined in charts, and coordinate-free (but connection-dependent) definitions of the rough integral of…

We develop the rough path counterpart of It\^o stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (It\^o / forward) stochastic differential equations treatable…

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…