Stochastic Integration Based on Simple, Symmetric Random Walks

Tamás Szabados () and Balázs Székely
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Tamás Szabados: Budapest University of Technology and Economics
Balázs Székely: Budapest University of Technology and Economics

Journal of Theoretical Probability, 2009, vol. 22, issue 1, 203-219

Abstract: Abstract A new approach to stochastic integration is described, which is based on an a.s. pathwise approximation of the integrator by simple, symmetric random walks. Hopefully, this method is didactically more advantageous, more transparent, and technically less demanding than other existing ones. In a large part of the theory one has a.s. uniform convergence on compacts. In particular, the method gives a.s. convergence for the stochastic integral of a finite variation function of the integrator, which is not càdlàg in general.

Keywords: Stochastic integration; Strong approximation; Random walk; Itô formula; 60H05; 60F15; 60G50 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10959-007-0140-8

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