167 citations · 539 across the 32 of their papers we have counts for
Showing 2014Show all
2 papers · 1 filter
math.PR2014★ 13 cited
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…
math.PR2014★ 32 cited
Local times for typical price paths and pathwise Tanaka formulas
Nicolas Perkowski, David J. Prömel
Following a hedging based approach to model free financial mathematics, we prove that it should be possible to make an arbitrarily large profit by investing in those one-dimensiona…