scientific article; zbMATH DE number 3721834

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Uncertain volatility and the risk-free synthesis of derivatives
Solutions of stochastic partial differential equations considered as Dirichlet processes
A probabilistic approach to the \(\varPhi \)-variation of classical fractal functions with critical roughness
Supermartingale Brenier's theorem with full-marginals constraint
A limit theorem for Bernoulli convolutions and the \(\Phi \)-variation of functions in the Takagi class
Quadratic variation and quadratic roughness
On the existence of SLE trace: finite energy drivers and non-constant \(\kappa \)
Wellposedness of second order backward SDEs
Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients
Towards three-dimensional conformal probability
Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations
A generic decomposition formula for pricing vanilla options under stochastic volatility models
Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion
Local times for continuous paths of arbitrary regularity
Ambiguous volatility, possibility and utility in continuous time
Change of variable formulas for non-anticipative functionals on path space
Model‐free portfolio theory: A rough path approach
Constructing functions with prescribed pathwise quadratic variation
On (signed) Takagi-Landsberg functions: pth variation, maximum, and modulus of continuity
A two-sided stochastic integral and its calculus
Pathwise superhedging on prediction sets
Quadratic variation along refining partitions: constructions and examples
Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
On a class of generalized Takagi functions with linear pathwise quadratic variation
CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS
A functional extension of the Ito formula
On arbitrage and Markovian short rates in fractional bond markets
A superhedging approach to stochastic integration
On the \(p\)th variation of a class of fractal functions
Remarks on Föllmer's pathwise Itô calculus
Functional Itō calculus and stochastic integral representation of martingales
Double dimers, conformal loop ensembles and isomonodromic deformations
Stochastic calculus for Markov processes associated with semi-Dirichlet forms
Extensions of the sewing lemma with applications
Trading strategies generated pathwise by functions of market weights
On the roughness of the paths of RBM in a wedge
Pathwise stochastic calculus with local times
Model-free portfolio theory and its functional master formula
Time-changed local martingales under signed measures
Stochastic integration and differential equations for typical paths
Option pricing models without probability: a rough paths approach
Bilinear equations in Hilbert space driven by paths of low regularity
Stochastic sequential reduction of commutative Hamiltonians
Dynamic spanning without probabilities
Tempered generalized functions and Hermite expansions
A model‐free approach to continuous‐time finance
Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
Nonsemimartingales: stochastic differential equations and weak Dirichlet processes
A brief and personal history of stochastic partial differential equations
Weak and strong discrete-time approximation of fractional SDEs
Forward integrals and SDE with fractal noise
A càdlàg rough path foundation for robust finance
Efficient discretisation of stochastic differential equations
Quasi-geometric rough paths and rough change of variable formula
On bifractional Brownian motion
Pathwise integrals and Itô-Tanaka formula for Gaussian processes
Dual formulation of second order target problems
Model-free CPPI
On stochastic calculus related to financial assets without semimartingales
Local times and Tanaka-Meyer formulae for càdlàg paths
Financial options and statistical prediction intervals
The generalized covariation process and Itô formula
On the quadratic variation of the model-free price paths with jumps
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model
Itô-Föllmer calculus in Banach spaces. I: The Itô formula
Financial modelling with multivariate mixed fractional Brownian motion
Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time
Pathwise no-arbitrage in a class of delta hedging strategies
The asymptotic expansion of the regular discretization error of Itô integrals
Generalized covariation for Banach space valued processes, Itō formula and applications
Step roots of Littlewood polynomials and the extrema of functions in the Takagi class
Wiener integrals, Malliavin calculus and covariance measure structure
Duality for pathwise superhedging in continuous time
Weak Dirichlet processes with jumps
Pathwise superreplication via Vovk's outer measure
A Dirichlet process characterization of a class of reflected diffusions
An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
One-dimensional game-theoretic differential equations
A simple proof of functional Itô's lemma for semimartingales with an application
Stochastic calculus for continuous additive functionals of zero energy
Discrete-time approximations of stochastic delay equations: the Milstein scheme.
Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
Weak Dirichlet processes with a stochastic control perspective
Probabilistic aspects of finance
The evolution of a random vortex filament
Stochastic calculus of variations for stochastic partial differential equations
Generalized integration and stochastic ODEs
\(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem
Stochastic integration with respect to additive functionals of zero quadratic variation
Differential equations driven by rough paths with jumps
Stochastic representation of diffusions corresponding to divergence form operators
Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
Itô calculus without probability in idealized financial markets
Pathwise integration with respect to paths of finite quadratic variation
Stochastic calculus with respect to Gaussian processes
Long-range dependent completely correlated mixed fractional Brownian motion
Weak Dirichlet processes and generalized martingale problems
Causal functional calculus
Fractional integrals, derivatives and integral equations with weighted Takagi–Landsberg functions

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