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math.PR2025
A rough path approach to pathwise stochastic integration à la Föllmer
Purba Das, Anna P. Kwossek, David J. Prömel
We develop a general framework for pathwise stochastic integration that extends Föllmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums an…
math.PR2025
Self-normalized scaled quadratic variation
Suprio Bhar, Purba Das, Barun Sarkar
The concept of a scaled quadratic variation was originally introduced by E. Gladyshev in 1961 for processes with Gaussian increments. Using certain deterministic scaling, arrived a…