Pathwise stochastic integrals for model free finance

We present two different approaches to stochastic integration in frictionless model free financial mathematics. The first one is in the spirit of It\^o's integral and based on a certain topology which is induced by the outer measure corresponding to the minimal superhedging price. The second one is based on the controlled rough path integral. We prove that every "typical price path" has a naturally associated It\^o rough path, and justify the application of the controlled rough path integral in finance by showing that it is the limit of non-anticipating Riemann sums, a new result in itself. Compared to the first approach, rough paths have the disadvantage of severely restricting the space of integrands, but the advantage of being a Banach space theory. Both approaches are based entirely on financial arguments and do not require any probabilistic structure.Comment: Published at http://dx.doi.org/10.3150/15-BEJ735 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Pathwise integration with respect to paths of finite quadratic variation

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 the integral satisfies a pathwise isometry property, analogous to the well-known Ito isometry for stochastic integrals. This property is then used to represent the integral as a continuous map on an appropriately defined vector space of integrands. Finally, we obtain a pathwise 'signal plus noise' decomposition for regular functionals of an irregular path with non-vanishing quadratic variation, as a unique sum of a pathwise integral and a component with zero quadratic variation.Comment: To appear in: Journal de Mathematiques Pures et Appliquee

Extending Whitney's extension theorem: nonlinear function spaces

We consider a global, nonlinear version of the Whitney extension problem for manifold-valued smooth functions on closed domains $C$, with non-smooth boundary, in possibly non-compact manifolds. Assuming $C$ is a submanifold with corners, or is compact and locally convex with rough boundary, we prove that the restriction map from everywhere-defined functions is a submersion of locally convex manifolds and so admits local linear splittings on charts. This is achieved by considering the corresponding restriction map for locally convex spaces of compactly-supported sections of vector bundles, allowing the even more general case where $C$ only has mild restrictions on inward and outward cusps, and proving the existence of an extension operator.Comment: 37 pages, 1 colour figure. v2 small edits, correction to Definition A.3, which makes no impact on proofs or results. Version submitted for publication. v3 small changes in response to referee comments, title extended. v4 crucial gap filled, results not affected. v5 final version to appear in Annales de l'Institut Fourie

Convergence in LpL^p for Feynman path integrals

We consider a class of Schrodinger equations with time-dependent smooth magnetic and electric potentials having a growth at infinity at most linear and quadratic, respectively. We study the convergence in $L^p$ with loss of derivatives, $1<p<\infty$, of the time slicing approximations of the corresponding Feynman path integral. The results are completely sharp and hold for long time, where no smoothing effect is available. The techniques are based on the decomposition and reconstruction of functions and operators with respect to certain wave packets in phase space.Comment: 24 pages, 1 figure; in this version, some typos were corrected and some arguments a little bit cleane