Pietro Siorpaes

activity

20152019

most citedStructure of martingale transports in finite dimensions

17 citations · 17 across the 1 of their papers we have counts for

collaborators

3 papers

math.CA2019

Differentiation of measures on a non-separable space, and the Radon-Nikodym theorem

Oleksii Mostovyi, Pietro Siorpaes

Given positive measures $ν, μ$ on an arbitrary measurable space $(Ω, F)$ , we construct a sequence of finite partitions $(π_{n})_{n}$ of $(Ω, F)$ s.t. $$ \sum_{A\in π_n…

math.PR2017★ 17 cited

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 $M (μ, ν)$ of martingale measures on $R^{N} \times R^{N}$ with g…

math.PR2015

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 $Φ$ , and…