2 papers
q-fin.MF2025
Pathwise analysis of log-optimal portfolios
Andrew L. Allan, Anna P. Kwossek, Chong Liu +1
Based on the theory of cà dlà g rough paths, we develop a pathwise approach to analyze stability and approximation properties of portfolios along individual price trajectories gene…
math.PR2025
Pathwise convergence of the Euler scheme for rough and stochastic differential equations
Andrew L. Allan, Anna P. Kwossek, Chong Liu +1
The convergence of the first order Euler scheme and an approximative variant thereof, along with convergence rates, are established for rough differential equations driven by cà dl…