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Remarks on Föllmer’s pathwise Itô calculus. (English) Zbl 07108033
Summary: We extend some results about Föllmer’s pathwise Itô calculus that have only been derived for continuous paths to càdlàg paths with quadratic variation. We study some fundamental properties of pathwise Itô integrals with respect to càdlàg integrators, especially associativity and the integration by parts formula. Moreover, we study integral equations with respect to pathwise Itô integrals. We prove that some classes of integral equations, which can be explicitly solved in the usual stochastic calculus, can also be solved within the framework of Föllmer’s calculus.

MSC:
60H99 Stochastic analysis
60H05 Stochastic integrals
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