11 citations · 27 across the 20 of their papers we have counts for
3 papers · 1 filter
Worst-Case Optimal Investment in Incomplete Markets
Sascha Desmettre, Sebastian Merkel, Annalena Mickel +1
We study and solve the worst-case optimal portfolio problem as pioneered by Korn and Wilmott (2002) of an investor with logarithmic preferences facing the possibility of a market c…
Product formulas for multiple stochastic integrals associated with Lévy processes
Paolo Di Tella, Christel Geiss, Alexander Steinicke
In the present paper, we obtain an explicit product formula for products of multiple integrals w.r.t. a random measure associated with a Lévy process. As a building block, we use a…
Deviation frequencies of Brownian path property approximations
Michael A. Högele, Alexander Steinicke
This case study proposes a.s.~convergence quantifications of many classical sample path property approximations of Brownian motion in terms of the tradeoff between a.s.~rates and t…