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Faculties and Departments
(49462)
School of Business Informatics and Mathematics
(5124)
Mathematical Finance (Prömel 2019-)
(33)
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2024
Allan, Andrew L.
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Liu, Chong
(2024)
A càdlàg rough path foundation for robust finance.
Finance and Stochastics Berlin [u.a.] 28 1 215-257 [Article]
Chen, Li
;
Nikolaev, Paul
ORCID: 0009-0005-6963-6730
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2024)
Well-posedness of diffusion–aggregation equations with bounded kernels and their mean-field approximations.
Mathematical Methods in the Applied Sciences : MMAS Chichester [u.a.] 47 11 9222-9248 [Article]
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Scheffels, David
(2024)
Pathwise uniqueness for singular stochastic Volterra equations with Hölder coefficients.
Stochastics and Partial Differential Equations: Analysis and Computations New York, NY tba tba 1-59 [Article]
Nikolaev, Paul
(2024)
Mean field limit for stochastic particle systems with and without common noise.
Mannheim [Doctoral dissertation]
2023
Allan, Andrew L.
;
Cuchiero, Christa
;
Liu, Chong
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2023)
Model-free portfolio theory: A rough path approach.
Mathematical Finance Malden, Mass. [u.a.] 33 3 709-765 [Article]
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Scheffels, David
(2023)
Stochastic Volterra equations with Hölder diffusion coefficients.
Stochastic Processes and Their Applications Amsterdam [u.a.] 161 291-315 [Article]
Liu, Chong
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Teichmann, Josef
(2023)
A Sobolev rough path extension theorem via regularity structures.
Probability and Statistics : P&S = Probabilités et statistique Les Ulis 27 2023 136-155 [Article]
Scheffels, David
(2023)
Well-posedness of stochastic Volterra equations with non-Lipschitz coefficients.
Mannheim [Doctoral dissertation]
2022
Łochowski, Rafał M.
;
Perkowski, Nicolas
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2022)
One-dimensional game-theoretic differential equations.
International Journal of Approximate Reasoning Amsterdam [u.a.] 141 11-27 [Article]
Liu, Chong
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Teichmann, Josef
(2022)
Optimal extension to Sobolev rough paths.
Potential Analysis Dordrecht 59 3 1399-1424 [Article]
2021
Liu, Chong
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Teichmann, Josef
(2021)
Stochastic analysis with modelled distributions.
Stochastics and Partial Differential Equations New York, NY 9 2021 343-379 [Article]
Döring, Leif
ORCID: 0000-0002-4569-5083
;
Gonon, Lukas
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Reichmann, Oleg
(2021)
Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations.
Journal of Theoretical Probability New York, NY [u.a.] 34 1 173-205 [Article]
Liu, Chong
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Teichmann, Josef
(2021)
On Sobolev rough paths.
Journal of Mathematical Analysis and Applications Amsterdam [u.a.] 497 1 Article 124876 [Article]
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Trabs, Mathias
(2021)
Paracontrolled distribution approach to stochastic Volterra equations.
Journal of Differential Equations Orlando, FL [u.a.] 302 222-272 [Article]
Łochowski, Rafał M.
;
Obłój, Jan
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Siorpaes, Pietro
(2021)
Local times and Tanaka–Meyer formulae for càdlàg paths.
Electronic Journal of Probability : EJP Seattle, WA 26 Article 77 1-29 [Article]
Cheridito, Patrick
;
Kiiski, Matti
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Soner, H. Mete
(2021)
Martingale optimal transport duality.
Mathematische Annalen Berlin ; Göttingen ; Heidelberg 379 3-4 1685-1712 [Article]
Allan, Andrew L.
;
Liu, Chong
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2021)
Càdlàg rough differential equations with reflecting barriers.
Stochastic Processes and Their Applications Amsterdam [u.a.] 142 79-104 [Article]
2020
Kiiski, Matti
(2020)
The Riesz representation theorem and weak∗ compactness of semimartingales.
Finance and Stochastics Berlin [u.a.] 24 4 827-870 [Article]
Liu, Chong
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Teichmann, Josef
(2020)
Characterization of nonlinear Besov spaces.
Transactions of the American Mathematical Society Providence, RI 373 1 529-550 [Article]
2019
Döring, Leif
ORCID: 0000-0002-4569-5083
;
Gonon, Lukas
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Reichmann, Oleg
(2019)
On Skorokhod embeddings and Poisson equations.
The Annals of Applied Probability Cleveland, OH ; Hayward, CA 29 4 2302-2337 [Article]
Bartl, Daniel
;
Kupper, Michael
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Tangpi, Ludovic
(2019)
Duality for pathwise superhedging in continuous time.
Finance and Stochastics Berlin ; Heidelberg 23 3 697-728 [Article]
2018
Döring, Leif
ORCID: 0000-0002-4569-5083
;
Gonon, Lukas
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Reichmann, Oleg
(2018)
Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations.
Mannheim [u.a.] [Working paper]
Łochowski, Rafał M.
;
Perkowski, Nicolas
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2018)
A superhedging approach to stochastic integration.
Stochastic Processes and Their Applications Amsterdam [u.a.] 128 12 4078-4103 [Article]
Friz, Peter K.
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2018)
Rough path metrics on a Besov-Nikolskii-type scale.
Transactions of the American Mathematical Society Providence, RI 370 12 8521-8550 [Article]
Liu, Chong
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2018)
Examples of Itô càdlàg rough paths.
Proceedings of the American Mathematical Society : PAMS Providence, RI 146 11 4937-4950 [Article]
2017
Döring, Leif
ORCID: 0000-0002-4569-5083
;
Gonon, Lukas
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Reichmann, Oleg
(2017)
On Skorokhod embeddings and Poisson equations.
Mannheim [u.a.] [Working paper]
Beiglböck, Mathias
;
Cox, Alexander M. G.
;
Huesmann, Martin
;
Perkowski, Nicolas
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2017)
Pathwise superreplication via Vovk’s outer measure.
Finance and Stochastics Berlin ; Heidelberg 21 4 1141-1166 [Article]
2016
Prömel, David J.
ORCID: 0000-0001-7028-7500
;
Trabs, Mathias
(2016)
Rough differential equations driven by signals in Besov spaces.
Journal of Differential Equations Orlando, FL [u.a.] 260 6 5202-5249 [Article]
Perkowski, Nicolas
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2016)
Pathwise stochastic integrals for model free finance.
Bernoulli : Official Journal of the Bernoulli Society for Mathematical Statistics and Probability The Hague ; Aarhus 22 4 2486-2520 [Article]
2015
Fromm, Alexander
;
Imkeller, Peter
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2015)
An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift.
Electronic Journal of Probability : EJP Seattle, WA 20 Paper 127 1-38 [Article]
Imkeller, Peter
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2015)
Existence of Lévy's area and pathwise integration.
Communications on Stochastic Analysis Baton Rouge, LA 9 1 93-111 [Article]
Perkowski, Nicolas
;
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2015)
Local times for typical price paths and pathwise Tanaka formulas.
Electronic Journal of Probability : EJP Seattle, WA 20 Paper 46 1-15 [Article]
Prömel, David J.
ORCID: 0000-0001-7028-7500
(2015)
Robust stochastic analysis with applications.
Berlin [Doctoral dissertation]
This list was created automatically on
Mon Oct 7 05:22:44 2024 CEST