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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…