David J. Prömel

activity

20132026

most citedPathwise stochastic integrals for model free finance

35 citations · 144 across the 25 of their papers we have counts for

collaborators

Showing math.FAShow all

3 papers · 1 filter

math.FA2019★ 27 cited

Martingale optimal transport duality

Patrick Cheridito, Matti Kiiski, David J. Prömel +1

We obtain a dual representation of the Kantorovich functional defined for functions on the Skorokhod space using quotient sets. Our representation takes the form of a Choquet capac…

math.FA2018★ 1 cited

Optimal extension to Sobolev rough paths

Chong Liu, David J. Prömel, Josef Teichmann

We show that every $R^{d}$ -valued Sobolev path with regularity $α$ and integrability $p$ can be lifted to a Sobolev rough path in the sense of T. Lyons provided $α > 1/ p > 0$ . M…

math.FA2018

Characterization of non-linear Besov spaces

Chong Liu, David J. Prömel, Josef Teichmann

The canonical generalizations of two classical norms on Besov spaces are shown to be equivalent even in the case of non-linear Besov spaces, that is, function spaces consisting of…