Allan, Andrew L.; Liu, Chong; Prömel, David J. - In: Finance and Stochastics 28 (2023) 1, pp. 215-257
Using rough path theory, we provide a pathwise foundation for stochastic Itô integration which covers most commonly applied trading strategies and mathematical models of financial markets, including those under Knightian uncertainty. To this end, we introduce the so-called property (RIE) for...
