Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity

Abstract : We construct a pathwise integration theory, associated with a change of variable formula , for smooth functionals of continuous paths with arbitrary regularity defined in terms of the notion of p-th variation along a sequence of time partitions. For paths with finite p-th variation along a sequence of time partitions, we derive a change of variable formula for p times continuously differentiable functions and show pointwise convergence of appropriately defined compensated Riemann sums. Results for functions are extended to regular path-dependent functionals using the concept of vertical derivative of a functional. We show that the pathwise integral satisfies an 'isometry' formula in terms of p-th order variation and obtain a 'signal plus noise' decomposition for regular functionals of paths with strictly increasing p-th variation. For less regular functions we obtain a Tanaka-type change of variable formula using an appropriately defined notion of local time. These results extend to multidimensional paths and yield a natural higher-order extension of the concept of 'reduced rough path'. We show that, while our integral coincides with a rough-path integral for a certain rough path, its construction is canonical and does not involve the specification of any rough-path superstructure.
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Pré-publication, Document de travail
2018
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Dernière modification le : dimanche 20 janvier 2019 - 13:16:01

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  • HAL Id : hal-01742614, version 2

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Rama Cont, Nicolas Perkowski. Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity. 2018. 〈hal-01742614v2〉

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