167 citations · 539 across the 32 of their papers we have counts for
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math.PR2013★ 35 cited
Pathwise stochastic integrals for model free finance
Nicolas Perkowski, David J. Prömel
We present two different approaches to stochastic integration in frictionless model free financial mathematics. The first one is in the spirit of Itô's integral and based on a cert…
math.PR2013★ 36 cited
Supermartingales as Radon-Nikodym densities and related measure extensions
Nicolas Perkowski, Johannes Ruf
Certain countably and finitely additive measures can be associated to a given nonnegative supermartingale. Under weak assumptions on the underlying probability space, existence and…