Examples of Itô càdlàg rough paths
Based on a dyadic approximation of Itô integrals, we show the existence of Itô càdlàg rough paths above general semimartingales, suitable Gaussian processes, and nonnegative typical price paths. Furthermore, the Lyons-Victoir extension theorem for càdlàg paths is presented, stating that every càdlàg...
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| Format: | Journal article |
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American Mathematical Society
2018
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