39 citations · 68 across the 11 of their papers we have counts for
13 papers
How to quantise probabilities while preserving their convex order
Marco Massa, Pietro Siorpaes
We introduce an algorithm which, given probabilities in convex order and defined on a separable Banach space , constructs finitely-supported approximations…
An abstract decomposition of measures and its many applications
Alessandro Milazzo, Pietro Siorpaes
We consider a little-known abstract decomposition result for positive measures due to Dellacherie, and show that it yields many decompositions of measures, several of which are new…
Local times and Tanaka--Meyer formulae for càdlàg paths
Rafał M. Łochowski, Jan Obłój, David J. Prömel +1
Three concepts of local times for deterministic c{à}dl{à}g paths are developed and the corresponding pathwise Tanaka--Meyer formulae are provided. For semimartingales, it is shown…
Differentiation of measures on a non-separable space, and the Radon-Nikodym theorem
Oleksii Mostovyi, Pietro Siorpaes
Given positive measures on an arbitrary measurable space , we construct a sequence of finite partitions of s.t. $$ \sum_{A\in π_n…
Structure of martingale transports in finite dimensions
Jan Obłój, Pietro Siorpaes
We study the structure of martingale transports in finite dimensions. We consider the family of martingale measures on with g…
Pathwise Stochastic Calculus with Local Times
Mark Davis, Jan Obłój, Pietro Siorpaes
We study a notion of local time for a continuous path, defined as a limit of suitable discrete quantities along a general sequence of partitions of the time interval. Our approach…
Applications of pathwise Burkholder-Davis-Gundy inequalities
Pietro Siorpaes
We present several applications of the pathwise Burkholder-Davis-Gundy (BDG) inequalities. Most importantly we prove them for cadlag semimartingales and a general function , and…
On a dyadic approximation of predictable processes of finite variation
Pietro Siorpaes
We show that any cadlag predictable process of finite variation is an a.s. limit of elementary predictable processes; it follows that predictable stopping times can be approximated…
Pathwise versions of the Burkholder-Davis-Gundy inequality
Mathias Beiglböck, Pietro Siorpaes
We present a new proof of the Burkholder-Davis-Gundy inequalities for . The novelty of our method is that these martingale inequalities are obtained as consequences…
Optimal investment and price dependence in a semi-static market
Pietro Siorpaes
This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at…
Optimal Investment with Stocks and Derivatives
Pietro Siorpaes
This paper studies the problem of maximizing expected utility from terminal wealth combining a static position in derivative securities, which we assume can be traded only at time…
Do arbitrage-free prices come from utility maximization?
Pietro Siorpaes
In this paper we ask whether, given a stock market and an illiquid derivative, there exists arbitrage-free prices at which an utility-maximizing agent would always want to buy the…
A Simple Proof of the Bichteler-Dellacherie Theorem
Mathias Beiglboeck, Pietro Siorpaes
We give a simple and rather elementary proof of the celebrated Bichteler-Dellacherie-Mokobodzki Theorem, which states that a process S is a good integrator if and only if it is a s…