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 stuctures,
  • stochastic (partial) differential equations.

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.