Purely pathwise probability-free Ito integral
Mathematical Finance
2016-06-09 v5
Abstract
This paper gives several simple constructions of the pathwise Ito integral for an integrand and a price path as integrator, with and satisfying various topological and analytical conditions. The definitions are purely pathwise in that neither nor are assumed to be paths of stochastic processes, and the Ito integral exists almost surely in a non-probabilistic financial sense. For example, one of the results shows the existence of for a cadlag integrand and a cadlag integrator with jumps bounded in a predictable manner.
Cite
@article{arxiv.1512.01698,
title = {Purely pathwise probability-free Ito integral},
author = {Vladimir Vovk},
journal= {arXiv preprint arXiv:1512.01698},
year = {2016}
}
Comments
23 pages; this version strengthens the main results, simplifies their proofs, and adds a preliminary result about non-cadlag integrands