Pathwise Construction of Stochastic Integrals
METADATA ONLY
Loading...
Author / Producer
Date
2011-08-15
Publication Type
Working Paper
ETH Bibliography
yes
Citations
Altmetric
METADATA ONLY
Data
Rights / License
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.
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
Pages / Article No.
1108.2981
Publisher
Cornell University
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Pathwise stochastic integral; Aggregation; Non-dominated model; Second order BSDE; G-expectation; Medial limit
Organisational unit
03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
03658 - Schweizer, Martin / Schweizer, Martin
Notes
Funding
Related publications and datasets
Is previous version of: 10.1214/ECP.v17-2099