Itô--Föllmer Calculus in Banach Spaces I: The Itô Formula

Abstract

We prove Föllmer's pathwise Itô formula for a Banach space-valued càdlàg path. We also relax the assumption on the sequence of partitions along which we treat the quadratic variation of a path.

45 pages; minor revision

References in corpus (5)

• Pathwise integration with respect to paths of finite quadratic variation
• Local times for typical price paths and pathwise Tanaka formulas
• On pathwise quadratic variation for cadlag functions
• Integration with respect to model-free price paths with jumps
• Itô--Föllmer Calculus in Banach Spaces II: Transformations of Quadratic Variations

Cited by in corpus (1)

• Itô--Föllmer Calculus in Banach Spaces II: Transformations of Quadratic Variations