- Abstract:
-
We construct a pathwise integration theory, associated with a change of variable formula, for smooth functionals of continuous paths with arbitrary regularity defined in terms of the notion of $p$-th variation along a sequence of time partitions. For paths with finite $p$-th variation along a sequence of time partitions, we derive a change of variable formula for $p$ times continuously differentiable functions and show pointwise convergence of appropriately defined compensated Riemann sums. R...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Publisher's version
- Files:
-
-
(pdf, 323.0KB)
-
- Publisher copy:
- 10.1090/btran/34
-
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- Publisher:
- American Mathematical Society Publisher's website
- Journal:
- Transactions of the American Mathematical Society Journal website
- Volume:
- 6
- Issue:
- 6
- Pages:
- 161-186
- Publication date:
- 2019-04-10
- Acceptance date:
- 2018-09-28
- DOI:
- EISSN:
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1088-6850
- ISSN:
-
0002-9947
- Pubs id:
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pubs:867305
- URN:
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uri:e11a9602-21e3-460b-9920-5ca0251cc04f
- UUID:
-
uuid:e11a9602-21e3-460b-9920-5ca0251cc04f
- Local pid:
- pubs:867305
- Copyright holder:
- Cont and Perkowski
- Copyright date:
- 2019
- Notes:
- Copyright © 2019 by the author under Creative Commons Attribution 3.0 License (CC BY 3.0)
Journal article
Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
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