Examples of Itô càdlàg rough paths

Published 18 Sep 2017 in math.PR | (1709.05988v2)

Abstract: Based on a dyadic approximation of It^o integrals, we show the existence of It^o c`adl`ag rough paths above general semimartingales, suitable Gaussian processes and non-negative typical price paths. Furthermore, Lyons-Victoir extension theorem for c`adl`ag paths is presented, stating that every c`adl`ag path of finite $p$-variation can be lifted to a rough path.

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