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- W2883655294 abstract "Using similar assumptions as in Revuz and Yor's book we prove the existence and uniqueness of the solutions of SDEs with Lipschitz coefficients, driven by continuous, model-free price paths. The main tool in our reasonings is a model-free version of the Burkholder-Davis-Gundy inequality for integrals driven by model-free, continuous price paths." @default.
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- W2883655294 date "2018-07-16" @default.
- W2883655294 modified "2023-10-15" @default.
- W2883655294 title "On SDEs with Lipschitz coefficients, driven by continuous, model-free price paths" @default.
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