Zobrazeno 1 - 10
of 32
pro vyhledávání: '"Allan, Andrew L."'
Autor:
Allan, Andrew L., Pieper, Jost
We present a new version of the stochastic sewing lemma, capable of handling multiple discontinuous control functions. This is then used to develop a theory of rough stochastic analysis in a c\`adl\`ag setting. In particular, we define rough stochast
Externí odkaz:
http://arxiv.org/abs/2408.06978
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 c\`adl\`ag paths satisfying a suitable criterion, namely the so-called Prop
Externí odkaz:
http://arxiv.org/abs/2309.16489
Publikováno v:
Finance Stoch. 28 (2024), no.1, 215--257
Using rough path theory, we provide a pathwise foundation for stochastic It\^o integration, which covers most commonly applied trading strategies and mathematical models of financial markets, including those under Knightian uncertainty. To this end,
Externí odkaz:
http://arxiv.org/abs/2109.04225
Publikováno v:
Mathematical Finance, vol. 33, no. 3, p. 709--765, 2023
Based on a rough path foundation, we develop a model-free approach to stochastic portfolio theory (SPT). Our approach allows to handle significantly more general portfolios compared to previous model-free approaches based on F{\"o}llmer integration.
Externí odkaz:
http://arxiv.org/abs/2109.01843
Publikováno v:
Stochastic Process. Appl. 142 (2021), 79-104
We investigate rough differential equations with a time-dependent reflecting lower barrier, where both the driving (rough) path and the barrier itself may have jumps. Assuming the driving signals allow for Young integration, we provide existence, uni
Externí odkaz:
http://arxiv.org/abs/2008.00794
Autor:
Allan, Andrew L.
We consider the filtering of continuous-time finite-state hidden Markov models, where the rate and observation matrices depend on unknown time-dependent parameters, for which no prior or stochastic model is available. We quantify and analyze how the
Externí odkaz:
http://arxiv.org/abs/2005.04982
Autor:
Allan, Andrew L., Cohen, Samuel N.
We study the problem of pathwise stochastic optimal control, where the optimization is performed for each fixed realisation of the driving noise, by phrasing the problem in terms of the optimal control of rough differential equations. We investigate
Externí odkaz:
http://arxiv.org/abs/1902.05434
Autor:
Allan, Andrew L.1 (AUTHOR), Liu, Chong2 (AUTHOR), Prömel, David J.3 (AUTHOR) proemel@uni-mannheim.de
Publikováno v:
Finance & Stochastics. Jan2024, Vol. 28 Issue 1, p215-257. 43p.
Autor:
Allan, Andrew L., Cohen, Samuel N.
In standard treatments of stochastic filtering one first has to estimate the values of the parameters of the model. Simply running the filter without considering the reliability of this estimate does not take into account this additional source of st
Externí odkaz:
http://arxiv.org/abs/1710.02046
Publikováno v:
In Stochastic Processes and their Applications December 2021 142:79-104