439 citations · 1.3k across the 38 of their papers we have counts for
3 papers · 2 filters
A Fourier approach to pathwise stochastic integration
Massimiliano Gubinelli, Peter Imkeller, Nicolas Perkowski
We develop a Fourier approach to rough path integration, based on the series decomposition of continuous functions in terms of Schauder functions. Our approach is rather elementary…
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…
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…