The associativity rule in pathwise functional Itô calculus

Published 28 May 2016 in math.PR and math.FA | (1605.08861v5)

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

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