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Paper detail

On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales

We prove the existence and uniqueness of solutions of SDEs with Lipschitz coefficients, driven by continuous, model-free martingales. The main tool in our reasoning is Picard's iterative procedure and a model-free version of the Burkholder-Davis-Gundy inequality for integrals driven by model-free, continuous martingales. We work with a new outer measure which assigns zero value exactly to those properties which are instantly blockable.

preprint2022arXivOpen access
Lesiba Ch. GalaneRafał M. ŁochowskiFarai J. Mhlanga
q-fin.MFmath.PR
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Lesiba Ch. GalaneRafał M. ŁochowskiFarai J. Mhlanga

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