Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
By Rama Cont, Nicolas Perkowski. Transactions of the American Mathematical Society. Series B, 2018
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We construct a pathwise integration theory, associated with a change of variable formula, for smooth functionals of continuous paths with arbitrary regularity defined in terms of the notion of p p th variation along a sequence of time partitions. For paths with finite p p th variation along a sequence of time partitions, we derive a change of variable formula for p p times continuously differentiable functions and show pointwise convergence of appropriately defined compensated Riemann sums. Results for functions are extended to regular path-dependent functionals using the concept of vertical derivative of a functional. We show that the pathwise integral satisfies an “isometry” formula in terms of p p th order variation and obtain a “signal plus noise” decomposition for regular functionals of paths with strictly increasing p p th variation. For less regular ( C p − 1 C^{p-1} ) functions we obtain a Tanaka-type change of variable formula using an appropriately defined notion of local time. These results extend to multidimensional paths and yield a natural higher-order extension of the concept of “reduced rough path”. We show that, while our integral coincides with a rough path integral for a certain rough path, its construction is canonical and does not involve the specification of any rough-path superstructure.
Subfields: Applied Mathematics, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/a37612e0941c1c67e91b9e0b8b156b02c60c69fb
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In Applied Mathematics
In Mathematical Physics
Citations in the corpus
- Rough Volatility: Fact or Artefact? (2022, background): “< t n N(πn) = T is defined following [12]: Definition 1.”