- Working Paper
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
Pages / Article No.
Organisational unit03844 - Soner, Mete / Soner, Mete
03658 - Schweizer, Martin / Schweizer, Martin
NotesSubmitted 15 August 2011.
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