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q-fin.MF2018
On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales
Lesiba Ch. Galane, Rafał M. Łochowski, Farai J. Mhlanga
We prove the existence and uniqueness of solutions of SDEs with Lipschitz coefficients, driven by continuous, model-free martingales. The main tool in our reasoning is Picard's ite…
q-fin.MF2015★ 5 cited
Integration with respect to model-free price paths with jumps
Rafał M. Łochowski
For every adapted, càglàd process (strategy) and typical càdlàg price paths whose jumps satisfy some mild growth condition we define integral as a limit of simple in…