2016/05/28 by Schied, Alexander, Voloshchenko, Iryna
#28A99 #46N30 #60H05 #FOS: Mathematics #Functional Analysis (math.FA) #Probability (math.PR)
paper · doi:10.48550/arxiv.1605.08861
In this paper we establish the associativity property of the pathwise Itô integral in a functional setting for continuous integrators. Here, associativity refers to the computation of the Itô differential of an Itô integral, by means of the intuitive cancellation of the Itô differential and integral signs.