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arXiv · 1605.08861

The associativity rule in pathwise functional Itô calculus

Alexander Schied·Iryna Voloshchenko
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Abstract

In this paper we establish the associativity property of the pathwise Itô integral in a functional setting for continuous integrators. Here, associativity refers to the computation of the Itô differential of an Itô integral, by means of the intuitive cancellation of the Itô differential and integral signs.

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Alexander Schied, Iryna Voloshchenko. 2018-05-21. The associativity rule in pathwise functional Itô calculus. https://arxiv.org/abs/1605.08861

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