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Pathwise construction of stochastic integrals


 
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1. Title Title of document Pathwise construction of stochastic integrals
 
2. Creator Author's name, affiliation, country Marcel Nutz; Columbia University; United States
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Pathwise stochastic integral; aggregation; non-dominated model; second order BSDE; G-expectation; medial limit
 
3. Subject Subject classification 60H05
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2012-06-19
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2099
 
10. Identifier Digital Object Identifier 10.1214/ECP.v17-2099
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 17
 
12. Language English=en en
 
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