Examples of Itô càdlàg rough paths

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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Bibliographic Details
Main Authors:	Chong, L, Proemel, D
Format:	Journal article
Published:	American Mathematical Society 2018

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