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Rough semimartingales and p-variation estimates for martingale transforms
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Rough semimartingales and p-variation estimates for martingale transforms
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We establish a new scale of $p$-variation estimates for martingale paraproducts, martingale transforms, and It\^o integrals, of relevance in rough paths theory, stochastic, and harmonic analysis. As an application, we introduce rough semimartingales, a common generalization of classical semimartingales and (controlled) rough paths, and their integration theory.
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Cited by 1 Pith paper
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