83 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- African Institute for Mathematical SciencesZA5 papers
- Toronto Metropolitan UniversityCA5 papers
- University of OttawaCA4 papers
- University of WarsawPL4 papers
- Bialystok University of TechnologyPL2 papers
- Prince Mohammad bin Fahd UniversitySA2 papers
- University of AveiroPT2 papers
- University of LimpopoZA2 papers
- Akdeniz University HospitalTR1 paper
- Binghamton UniversityUS1 paper
- Broad InstituteUS1 paper
- Central European UniversityAT1 paper
Showing q-fin.MFShow all
2 papers · 1 filter
q-fin.MF2018
On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales
Lesiba Ch. Galane, Rafał M. Łochowski, Farai J. Mhlanga
We prove the existence and uniqueness of solutions of SDEs with Lipschitz coefficients, driven by continuous, model-free martingales. The main tool in our reasoning is Picard's ite…
q-fin.MF2017★ 1 cited
On the quadratic variation of the model-free price paths with jumps
Lesiba Ch. Galane, Rafał M. Łochowski, Farai J. Mhlanga
We prove that the model-free typical (in the sense of Vovk) càdlàg price paths with mildly restricted downward jumps possess quadratic variation which does not depend on the specif…