Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity

HIGHLIGHTS

• who: Rama Cont and Nicolas Perkowski from the converges weakly to a measure μ without atomsThe continuous increasing function [S] : [0, T ] → R+ defined by [S](t)=μ([0, t]) is then called the quadratic variation of S along π. Extending this definition to vector-valued paths Föllmer [14] showed that, for integrands of the form ∇f (S(t)) with f ∈ C , (Rd ), one may define a Received by the editors April, and, in revised form, September, . , Mathematics Subject Classification. Primary , . N. Perkowski is grateful for the kind hospitality at University of Technology Sydney where this work was completed . . .
  

   

  

  If you want to have access to all the content you need to log in!

  Thanks :)

  Username or Email

  Password

  Remember me

  Lost your password?

  If you don't have an account, you can create one here.