Abstract
We propose a method to construct the stochastic integral simultaneously under a non-dominated family of probability measures. Path-by-path, and without referring to a probability measure, we construct a sequence of Lebesgue-Stieltjes integrals whose medial limit coincides with the usual stochastic integral under essentially any probability measure such that the integrator is a semimartingale. This method applies to any predictable integrand. Show more
Publication status
publishedExternal links
Journal / series
arXivPages / Article No.
Publisher
Cornell UniversitySubject
Pathwise stochastic integral; Aggregation; Non-dominated model; Second order BSDE; G-expectation; Medial limitOrganisational unit
03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
03658 - Schweizer, Martin / Schweizer, Martin
Related publications and datasets
Is previous version of: https://doi.org/10.1214/ECP.v17-2099
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