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2012 Pathwise construction of stochastic integrals
Marcel Nutz
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Electron. Commun. Probab. 17: 1-7 (2012). DOI: 10.1214/ECP.v17-2099

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.

Citation

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Marcel Nutz. "Pathwise construction of stochastic integrals." Electron. Commun. Probab. 17 1 - 7, 2012. https://doi.org/10.1214/ECP.v17-2099

Information

Accepted: 19 June 2012; Published: 2012
First available in Project Euclid: 7 June 2016

zbMATH: 1245.60054
MathSciNet: MR2950190
Digital Object Identifier: 10.1214/ECP.v17-2099

Subjects:
Primary: 60H05

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