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math.PR2017
Examples of Itô càdlàg rough paths
Chong Liu, David J. Prömel
Based on a dyadic approximation of Itô integrals, we show the existence of Itô càdlàg rough paths above general semimartingales, suitable Gaussian processes and non-negative typica…
math.PR2017★ 6 cited
On Skorokhod Embeddings and Poisson Equations
Leif Doering, Lukas Gonon, David J. Prömel +1
The classical Skorokhod embedding problem for a Brownian motion asks to find a stopping time so that is distributed according to a prescribed probability distribution…