Work

A Fourier analytic approach to pathwise stochastic integration

Year: 2016

Type: article

Abstract: We develop a Fourier analytic approach to rough path integration, based on the series decomposition of continuous functions in terms of Schauder functions. Our approach is rather elementary, the main ingredient being a simple commutator estimate, and it leads to recursive algorithms for the calculation of pathwise stochastic integrals, both of Itô and of Stratonovich type. We apply it to solve stochastic differential equations in a pathwise manner.

Source: Electronic Journal of Probability

DOI: 10.1214/16-ejp3868

Authors: Massimiliano Gubinelli, Peter Imkeller, Nicolas Perkowski

Institutions: Centre National de la Recherche Scientifique, Centre de Recherche en Mathématiques de la Décision, Institut Universitaire de France, Université Paris Dauphine-PSL, Humboldt-Universität zu Berlin

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

Funders: Agence Nationale de la Recherche, Institut Universitaire de France, Humboldt-Universität zu Berlin, Fondation Sciences Mathématiques de Paris