no code implementations • 20 Jan 2021 • Rafał M. Łochowski, Nicolas Perkowski, David J. Prömel
We provide a very brief introduction to typical paths and the corresponding It\^o type integration.
Probability Mathematical Finance 91A40, 60H10
no code implementations • 8 May 2017 • Daniel Bartl, Michael Kupper, David J. Prömel, Ludovic Tangpi
If the sample space is stable under stopping, the probabilistic problem reduces to finding the supremum over all martingale measures with compact support.