Pathwise integration with respect to paths of finite quadratic variation
File(s)JMPA-16-1851.pdf (349.12 KB)
Accepted version
Author(s)
Cont, R
Ananova, A
Type
Journal Article
Abstract
We study a pathwise integral with respect to paths of finite quadratic variation, defined as the limit of non-anticipative Riemann sums for gradient-type integrands.
We show that the integral satisfies a pathwise isometry property, analogous to the well-known Ito isometry for stochastic integrals. This property is then used to represent the integral as a continuous map on an appropriately defined vector space of integrands. Finally, we obtain a pathwise 'signal plus noise' decomposition for regular functionals of an irregular path with non-vanishing quadratic variation, as a unique sum of a pathwise integral and a component with zero quadratic variation.
We show that the integral satisfies a pathwise isometry property, analogous to the well-known Ito isometry for stochastic integrals. This property is then used to represent the integral as a continuous map on an appropriately defined vector space of integrands. Finally, we obtain a pathwise 'signal plus noise' decomposition for regular functionals of an irregular path with non-vanishing quadratic variation, as a unique sum of a pathwise integral and a component with zero quadratic variation.
Date Issued
2016-10-29
Date Acceptance
2016-08-10
Citation
Journal de Mathematiques Pures et Appliquees, 2016, 107 (6), pp.737-757
ISSN
0021-7824
Publisher
Elsevier
Start Page
737
End Page
757
Journal / Book Title
Journal de Mathematiques Pures et Appliquees
Volume
107
Issue
6
Copyright Statement
© 2016, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Identifier
http://arxiv.org/abs/1603.03305
PII: S0021-7824(16)30115-5
Subjects
pathwise stochastic integration
Ito isometry
stochastic integral
Riemann sum
quadratic variation
Publication Status
Published