35 citations · 144 across the 25 of their papers we have counts for
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math.PR2014
An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift
Alexander Fromm, Peter Imkeller, David J. Prömel
We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion with non-linear drift. Our approach relies on solving an associated strongly co…
math.PR2014★ 32 cited
Local times for typical price paths and pathwise Tanaka formulas
Nicolas Perkowski, David J. Prömel
Following a hedging based approach to model free financial mathematics, we prove that it should be possible to make an arbitrarily large profit by investing in those one-dimensiona…
math.PR2014
Existence of Lévy's area and pathwise integration
Peter Imkeller, David J. Prömel
Rough path analysis can be developed using the concept of controlled paths, and with respect to a topology in which Lévy's area plays a role. For vectors of irregular paths we inve…