A càdlàg rough path foundation for robust finance

DOI10.1007/s00780-023-00522-0zbMath1530.91519arXiv2109.04225OpenAlexW3199430247MaRDI QIDQ6181520

David J. Prömel, Andrew L. Allan, Chong Liu

Publication date: 2 January 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.04225

zbMATH Keywords

model uncertaintysemimartingalefunctionally generated portfoliosuniversal portfoliorough pathpathwise integrationFöllmer integration

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Portfolio theory (91G10) Rough paths (60L20)

Cites Work

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