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arxiv: 1603.03305 · v3 · pith:NO3WFYSAnew · submitted 2016-03-10 · 🧮 math.PR · math.FA

Pathwise integration with respect to paths of finite quadratic variation

classification 🧮 math.PR math.FA
keywords pathwiseintegralquadraticvariationdefinedfiniteintegrandsisometry
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We study a pathwise integral with respect to paths of finite quadratic variation, defined as the limit of non-anticipative Riemann sums for gradient-type integrands. We show that the integral satisfies a pathwise isometry property, analogous to the well-known Ito isometry for stochastic integrals. This property is then used to represent the integral as a continuous map on an appropriately defined vector space of integrands. Finally, we obtain a pathwise 'signal plus noise' decomposition for regular functionals of an irregular path with non-vanishing quadratic variation, as a unique sum of a pathwise integral and a component with zero quadratic variation.

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