Quadratic variation and quadratic roughness

نویسندگان

چکیده

We study the concept of quadratic variation a continuous path along sequence partitions and its dependence with respect to choice partition sequence. introduce roughness show that for Hölder-continuous paths satisfying this condition, balanced is invariant Typical Brownian motion are shown satisfy property almost-surely any required step size condition. Using these results we derive formulation pathwise Föllmer-Itô calculus which also an invarience local time under roughness.

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ژورنال

عنوان ژورنال: Bernoulli

سال: 2023

ISSN: ['1573-9759', '1350-7265']

DOI: https://doi.org/10.3150/22-bej1466