@article{ECP2099,
author = {Marcel Nutz},
title = {Pathwise construction of stochastic integrals},
journal = {Electron. Commun. Probab.},
fjournal = {Electronic Communications in Probability},
volume = {17},
year = {2012},
keywords = {Pathwise stochastic integral; aggregation; non-dominated model; second order BSDE; G-expectation; medial limit},
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.},
pages = {no. 24, 1-7},
issn = {1083-589X},
doi = {10.1214/ECP.v17-2099},
url = {http://ecp.ejpecp.org/article/view/2099}}