5 citations · 8 across the 12 of their papers we have counts for
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math.PR2021
A Càdlàg Rough Path Foundation for Robust Finance
Andrew L. Allan, Chong Liu, David J. Prömel
Using rough path theory, we provide a pathwise foundation for stochastic Itô integration, which covers most commonly applied trading strategies and mathematical models of financial…
math.PR2021
Model-free Portfolio Theory: A Rough Path Approach
Andrew L. Allan, Christa Cuchiero, Chong Liu +1
Based on a rough path foundation, we develop a model-free approach to stochastic portfolio theory (SPT). Our approach allows to handle significantly more general portfolios compare…
math.PR2021
A Sobolev rough path extension theorem via regularity structures
Chong Liu, David J. Prömel, Josef Teichmann
We show that every -valued Sobolev path with regularity and integrability can be lifted to a Sobolev rough path provided . The novelty of our appr…