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

  • Martingale Optimal Transport Duality,
     Patrick Cheridito, Matti Kiiski,  David Prömel and H. Mete Soner, arXiv:1904.04644, 2019.
  • Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations,
     Leif Döring, Lukas Gonon, David Prömel and Oleg Reichmann, arXiv:1812.08579, 2018.
  • Paracontrolled distribution approach to stochastic Volterra equations,
    David Prömel and Mathias Trabs, arXiv:1812.05456, 2018.
  • Optimal extension to Sobolev rough paths,
     Chong Liu, David Prömel and Josef Teichmann, arXiv:1811.05173, 2018.
  • The Riesz Representation Theorem and Weak∗ Compactness of Semimartingales,
      Matti Kiiski, arXiv:1707.09382, 2018.