3 papers
math.PR2020
On Sobolev rough paths
Chong Liu, David J. Prömel, Josef Teichmann
We introduce the space of rough paths with Sobolev regularity and the corresponding concept of controlled Sobolev paths. Based on these notions, we study rough path integration and…
math.PR2020
Adapted Topologies and Higher Rank Signatures
Patric Bonnier, Chong Liu, Harald Oberhauser
The topology of weak convergence does not account for the growth of information over time that is captured in the filtration of an adapted stochastic process. For example, two adap…
q-fin.MF2020
Supermartingale deflators in the absence of a numéraire
Philipp Harms, Chong Liu, Ariel Neufeld
In this paper we study arbitrage theory of financial markets in the absence of a numéraire both in discrete and continuous time. In our main results, we provide a generalization of…