scientific article; zbMATH DE number 3721834

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

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