Journal article
Examples of Itô càdlàg rough paths
- Abstract:
- Based on a dyadic approximation of Itô integrals, we show the existence of Itô càdlàg rough paths above general semimartingales, suitable Gaussian processes, and nonnegative typical price paths. Furthermore, the Lyons-Victoir extension theorem for càdlàg paths is presented, stating that every càdlàg path of finite p-variation can be lifted to a rough path
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
-
-
(Preview, Accepted manuscript, pdf, 227.0KB, Terms of use)
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- Publisher copy:
- 10.1090/proc/14142
Authors
+ Swiss National Foundation
More from this funder
- Funding agency for:
- Proemel, D
- Grant:
- 200021 163014
- Publisher:
- American Mathematical Society
- Journal:
- Proceedings of the American Mathematical Society More from this journal
- Volume:
- 146
- Issue:
- 11
- Pages:
- 4937-4950
- Publication date:
- 2018-08-08
- Acceptance date:
- 2018-02-25
- DOI:
- EISSN:
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1088-2826
- ISSN:
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0002-9939
- Keywords:
- Pubs id:
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pubs:826803
- UUID:
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uuid:eae5fd37-394b-4c46-8bb3-1b03168cec7f
- Local pid:
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pubs:826803
- Source identifiers:
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826803
- Deposit date:
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2018-02-27
- ARK identifier:
Terms of use
- Copyright holder:
- American Mathematical Society
- Copyright date:
- 2018
- Notes:
- © 2018 American Mathematical Society. This is the author accepted manuscript following peer review version of the article. The final version is available online from American Mathematical Society at: 10.1090/proc/14142
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