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math.PR2026
A pathwise Ito formula for weakly differentiable functions
Anna Ananova, Rama Cont
We prove a version of Föllmer's pathwise Itô formula for weakly differentiable functions of continuous paths with finite quadratic variation along a sequence of partitions. For eac…
math.PR2020★ 1 cited
Rough differential equations with path-dependent coefficients
Anna Ananova
We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated…
math.PR2016★ 33 cited
Pathwise integration with respect to paths of finite quadratic variation
Anna Ananova, Rama Cont
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 t…