Integration with respect to model-free price paths with jumps

2015/11/25 by Rafał M. Łochowski, Łochowski, Rafał M. · 1 citation
Economics, Econometrics and Finance · Mathematics · #60H05 #Economic theories and models #FOS: Economics and business #Mathematical Dynamics and Fractals #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1511.08194

openalex publication_date 2015/11/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

For every adapted, càglàd process (strategy) G and typical càdlàg price paths whose jumps satisfy some mild growth condition we define integral G⋅ S as a limit of simple integrals.

Cited by

• Remarks on Föllmer's pathwise Itô calculus

Related

• On the quadratic variation of the model-free price paths with jumps
• Asymptotics of the truncated variation of model-free price paths and\n semimartingales with jumps
• Purely pathwise probability-free Ito integral
• Ito calculus without probability in idealized financial markets
• On Jump Measures of Optional Processes with Regulated Trajectories