Título: Pathwise construction of stochastic integrals
Autores: Nutz, Marcel; Columbia University
Fecha: 2012-01-02
Publicador: Electronic communications in probability
Fuente:
Tipo: Peer-reviewed Article
Tema: Pathwise stochastic integral; aggregation; non-dominated model; second order BSDE; G-expectation; medial limit
60H05
Descripción: 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.
Idioma: Inglés

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