Imperial College London
Alternate

ProfessorRamaCont

Faculty of Natural Sciences, Department of Mathematics

Visiting Professor
 
 
 
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Contact

 

+44 (0)20 7594 0802r.cont Website

 
 
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Location

 

806Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Cont:2016:10.1016/j.matpur.2016.10.004,
author = {Cont, R and Ananova, A},
doi = {10.1016/j.matpur.2016.10.004},
journal = {Journal de Mathematiques Pures et Appliquees},
pages = {737--757},
title = {Pathwise integration with respect to paths of finite quadratic variation},
url = {http://dx.doi.org/10.1016/j.matpur.2016.10.004},
volume = {107},
year = {2016}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We study  a pathwise integral with respect to paths of finite quadratic variation, defined as the limit of non-anticipative Riemann sums for  gradient-type integrands.We show that the integral  satisfies  a pathwise isometry property, analogous to the well-known Ito isometry for stochastic integrals. This property is then used to represent the integral as  a continuous map on an appropriately defined vector space of integrands. Finally, we obtain a  pathwise 'signal plus noise' decomposition for regular functionals of an irregular path with non-vanishing quadratic variation, as a unique sum of a pathwise integral and a component with zero quadratic variation.
AU  - Cont,R
AU  - Ananova,A
DO  - 10.1016/j.matpur.2016.10.004
EP  - 757
PY  - 2016///
SN  - 0021-7824
SP  - 737
TI  - Pathwise integration with respect to paths of finite quadratic variation
T2  - Journal de Mathematiques Pures et Appliquees
UR  - http://dx.doi.org/10.1016/j.matpur.2016.10.004
UR  - http://arxiv.org/abs/1603.03305
UR  - http://www.sciencedirect.com/science/article/pii/S0021782416301155
UR  - http://hdl.handle.net/10044/1/39595
VL  - 107
ER  -
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