English

Purely pathwise probability-free Ito integral

Mathematical Finance 2016-06-09 v5

Abstract

This paper gives several simple constructions of the pathwise Ito integral 0tϕdω\int_0^t\phi d\omega for an integrand ϕ\phi and a price path ω\omega as integrator, with ϕ\phi and ω\omega satisfying various topological and analytical conditions. The definitions are purely pathwise in that neither ϕ\phi nor ω\omega 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 0tϕdω\int_0^t\phi d\omega for a cadlag integrand ϕ\phi and a cadlag integrator ω\omega 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

R2 v1 2026-06-22T12:02:19.590Z