74 citations · 184 across the 30 of their papers we have counts for
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math.PR2016★ 4 cited
Mild and viscosity solutions to semilinear parabolic path-dependent PDEs
Alexander Kalinin, Alexander Schied
We study and compare two concepts for weak solutions to semilinear parabolic path-dependent partial differential equations (PPDEs). The first is that of mild solutions as it appear…
q-fin.PM2016
Model-free portfolio theory and its functional master formula
Alexander Schied, Leo Speiser, Iryna Voloshchenko
We use pathwise Itô calculus to prove two strictly pathwise versions of the master formula in Fernholz' stochastic portfolio theory. Our first version is set within the framework o…
math.PR2016★ 1 cited
The associativity rule in pathwise functional Itô calculus
Alexander Schied, Iryna Voloshchenko
In this paper we establish the associativity property of the pathwise Itô integral in a functional setting for continuous integrators. Here, associativity refers to the computation…