Quadratic variation, p-variation and integration with applications to stock price modelling
arXiv:math/0108090
Abstract
The paper develops a calculus for a class of real-valued functions having a quadratic variation. The main result is a solution of the representation problem for a class of evolutions having a quadratic variation. The result is applied to build up an asset pricing model. Also in the paper there are some results concerning an extension of the class of all semimartingales.
172 pages