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dc.contributor.author
Nutz, Marcel
dc.date.accessioned
2017-06-09T17:24:43Z
dc.date.available
2017-06-09T17:24:43Z
dc.date.issued
2011
dc.identifier.uri
http://hdl.handle.net/20.500.11850/41756
dc.description.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.
dc.language.iso
en
dc.publisher
Cornell University
dc.title
Pathwise Construction of Stochastic Integrals
dc.type
Working Paper
ethz.pages.start
arXiv:1108.2981v1
ethz.size
8 p.
ethz.notes
Submitted 15 August 2011.
ethz.publication.place
Ithaca, NY
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03844 - Soner, Mete / Soner, Mete
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03844 - Soner, Mete / Soner, Mete
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.identifier.url
http://arxiv.org/abs/1108.2981
ethz.date.deposited
2017-06-09T17:24:57Z
ethz.source
ECIT
ethz.identifier.importid
imp59364ead3259b14174
ethz.ecitpid
pub:69741
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-14T16:48:26Z
ethz.rosetta.lastUpdated
2018-10-01T14:30:27Z
ethz.rosetta.versionExported
true
ethz.COinS
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