regular seminar Purba Das (KCL)
at: 11:00 - 12:00 KCL, Strand room: S5.20 abstract: | We study the concept of quadratic variation of a continuous path along a sequence of partitions and its dependence with respect to the choice of the partition sequence to define invariance notion of stochastic integrals. We introduce the concept of quadratic roughness of a path along a partition sequence and show that for Hölder-continuous paths satisfying this roughness condition, the quadratic variation along balanced partitions is invariant with respect to the choice of the partition sequence. Using these results we derive a formulation of the pathwise Föllmer-Itô calculus which is invariant with respect to the partition sequence.
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