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Abstract: A new approach to stochastic integration is described, which is based on ana.s. pathwise approximation of the integrator by simple, symmetric randomwalks. Hopefully, this method is didactically more advantageous, moretransparent, and technically less demanding than other existing ones. In alarge part of the theory one has a.s. uniform convergence on compacts. Inparticular, it gives a.s. convergence for the stochastic integral of a finitevariation function of the integrator, which is not c\`adl\`ag in general.



Author: Tamás Szabados Budapest University of Technology and Economics, Balázs Székely Budapest University of Technology and Economics

Source: https://arxiv.org/







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