5 papers
Weak solutions to distribution-dependent stochastic Volterra equations
Martin Bergerhausen, David J. Prömel
We prove the existence of weak solutions for distribution-dependent stochastic Volterra equations under linear growth and continuity conditions on the coefficients and mild regular…
Pathwise analysis of log-optimal portfolios
Andrew L. Allan, Anna P. Kwossek, Chong Liu +1
Based on the theory of càdlàg rough paths, we develop a pathwise approach to analyze stability and approximation properties of portfolios along individual price trajectories genera…
A rough path approach to pathwise stochastic integration à la Föllmer
Purba Das, Anna P. Kwossek, David J. Prömel
We develop a general framework for pathwise stochastic integration that extends Föllmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums an…
Stochastic differential equations driven by fractional Brownian motion: dependence on the Hurst parameter
Anna P. Kwossek, Andreas Neuenkirch, David J. Prömel
Stochastic models with fractional Brownian motion as source of randomness have become popular since the early 2000s. Fractional Brownian motion (fBm) is a Gaussian process, whose c…
Quantitative relative entropy estimates on the whole space for convolution interaction forces
Paul Nikolaev, David J. Prömel
Quantitative estimates are derived, on the whole space, for the relative entropy between the joint law of random interacting particles and the tensorized law at the limiting system…