Research

The research interests of the group are stochastic analysis and mathematical finance with current focus on:

martingale optimal transport,
model-free financial mathematics,
pathwise stochastic calculus (for financial applications),
rough paths, paracontrolled distributions, regularity structures,
Skorokhod embedding problem,
stochastic (partial) differential equations.

Below you can find the most recent publications of the research group. For the complete publication list of each group member please consult their individual profil pages.

Most Recent Publications

Càdlàg rough differential equations with reflecting barriers,
Andrew L. Allan, Chong Liu and David Prömel, arXiv:2008.00794.
On Sobolev rough paths,
Chong Liu, David Prömel and Josef Teichmann, arXiv:2006.03322, 2020.
Local times and Tanaka-Meyer formulae for cadlag paths,
Rafał Łochowski, Jan Obłój, David Prömel and Pietro Siorpaes, arXiv:2002.03227, 2020.
Martingale Optimal Transport Duality,
Patrick Cheridito, Matti Kiiski, David Prömel and H. Mete Soner, arXiv:1904.04644, 2019.
Paracontrolled distribution approach to stochastic Volterra equations,
David Prömel and Mathias Trabs, arXiv:1812.05456, 2018.