5 papers
A dice game, a multinomial walk, and the inverted Dirichlet distribution
Gunther Leobacher, Alexander Steinicke
We consider a simple dice game, which leads to an intriguing study of multinomial walks, with surprising and seemingly paradoxical properties. The winning and losing probabilities…
Locally Lipschitz Path Dependent FBSDEs with Unbounded Terminal Conditions in Brownian and L{é}vy Settings
Hannah Geiss, Céline Labart, Adrien Richou +1
This paper is dedicated to the analysis of forward backward stochastic differential equations driven by a L{é}vy process. We assume that the generator and the terminal condition a…
Measure and dimension theory of permeable sets and its applications to fractals
Gunther Leobacher, Tapio Rajala, Alexander Steinicke +1
We study {\it permeable} sets. These are sets \(Î\subset \mathbb{R}^d\) which have the property that each two points \(x,y\in \mathbb{R}^d\) can be connected by a short path \(γ\…
A Skorohod measurable universal functional representation of solutions to semimartingale SDEs
PaweÅ PrzybyÅowicz, Verena Schwarz, Alexander Steinicke +1
In this paper we show the existence of a universal Skorohod measurable functional representation for a large class of semimartingale-driven stochastic differential equations. For t…
Worst-Case Optimal Investment in Incomplete Markets
Sascha Desmettre, Sebastian Merkel, Annalena Mickel +1
We study and solve the worst-case optimal portfolio problem as pioneered by Korn and Wilmott (2002) of an investor with logarithmic preferences facing the possibility of a market c…