On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales

DOI10.1214/23-ecp520arXiv1807.05692OpenAlexW4324122122MaRDI QIDQ6110566

Rafał Marcin Łochowski, Lesiba Charles Galane, Farai Julius Mhlanga

Publication date: 2 August 2023

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.05692

zbMATH Keywords

stochastic differential equationsBurkholder-Davis-Gundy inequalitiesinstant enforcementmodel-free martingales

Mathematics Subject Classification ID

Stochastic integral equations (60H20) Actuarial science and mathematical finance (91G99)

Related Items (1)

Stochastic integration and differential equations for typical paths

Cites Work

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