Sledovat
David J. Prömel
Název
Citace
Citace
Rok
Pathwise stochastic integrals for model free finance
N Perkowski, DJ Prömel
Bernoulli 22 (4), 2486-2520, 2016
732016
Pathwise superreplication via Vovk’s outer measure
M Beiglböck, AMG Cox, M Huesmann, N Perkowski, DJ Prömel
Finance and Stochastics 21, 1141-1166, 2017
452017
Martingale optimal transport duality
P Cheridito, M Kiiski, DJ Prömel, HM Soner
Mathematische Annalen 379, 1685-1712, 2021
422021
Rough differential equations driven by signals in Besov spaces
DJ Prömel, M Trabs
Journal of Differential Equations 260 (6), 5202-5249, 2016
352016
Local times for typical price paths and pathwise Tanaka formulas
N Perkowski, DJ Prömel
Electronic Journal of Probability 20 (46), 1-15, 2015
322015
Duality for pathwise superhedging in continuous time
D Bartl, M Kupper, DJ Prömel, L Tangpi
Finance and Stochastics 23 (3), 697-728, 2019
302019
A superhedging approach to stochastic integration
RM Łochowski, N Perkowski, DJ Prömel
Stochastic processes and their applications 128 (12), 4078-4103, 2018
222018
Stochastic Volterra equations with Hölder diffusion coefficients
DJ Prömel, D Scheffels
Stochastic Processes and their Applications 161, 291-315, 2023
192023
Stochastic analysis with modelled distributions
C Liu, DJ Prömel, J Teichmann
Stochastics and Partial Differential Equations: Analysis and Computations 9 …, 2021
182021
Existence of Levy's area and pathwise integration
P Imkeller, DJ Prömel
Communications on Stochastic Analysis 9 (1), 93-111, 2015
182015
Rough path metrics on a Besov–Nikolskii-type scale
P Friz, DJ Prömel
Transactions of the American Mathematical Society 370 (12), 8521-8550, 2018
162018
Local times and Tanaka-Meyer formulae for cadlag paths
R Łochowski, J Obłój, DJ Prömel, P Siorpaes
Electronic Journal of Probability 26 (77), 1-29, 2021
152021
Characterization of nonlinear Besov spaces
C Liu, DJ Prömel, J Teichmann
Transactions of the American Mathematical Society 373 (1), 529-550, 2020
152020
An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift
A Fromm, P Imkeller, DJ Prömel
Electronic Journal of Probability 20 (127), 1-38, 2015
142015
Model-free portfolio theory: A rough path approach
AL Allan, C Cuchiero, C Liu, DJ Prömel
Mathematical Finance 33 (3), 709–765, 2023
132023
Paracontrolled distribution approach to stochastic Volterra equations
DJ Prömel, M Trabs
Journal of Differential Equations 302, 222-272, 2021
112021
Examples of Itô càdlàg rough paths
C Liu, DJ Prömel
Proceedings of the American Mathematical Society 146 (11), 4937-4950, 2018
102018
Optimal extension to Sobolev rough paths
C Liu, DJ Prömel, J Teichmann
Potential Analysis 59 (3), 1399-1424, 2023
9*2023
On Sobolev rough paths
C Liu, DJ Prömel, J Teichmann
Journal of Mathematical Analysis and Applications 497 (1), 124876, 2021
92021
On Skorokhod embeddings and Poisson equations
L Döring, L Gonon, DJ Prömel, O Reichmann
Annals of Applied Probability 29 (4), 2302-2337, 2019
82019
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Články 1–20