Geometric aspects in pathwise stochastic analysis and related topics

Short dated smile under Rough Volatility: asymptotics and numerics

Autori: Friz, Peter K.; Gassiat, Paul; Pigato, Paolo
Pubblicato in: Quantitative Finance, Numero 22:3, 463-480, 2022, 2022, ISSN 1469-7688
Editore: Institute of Physics Publishing
DOI: 10.1080/14697688.2021.1999486

Superdiffusive limits for deterministic fast–slow dynamical systems

Autori: Ilya Chevyrev, Peter K. Friz, Alexey Korepanov, Ian Melbourne
Pubblicato in: Probability Theory and Related Fields, Numero 178/3-4, 2020, Pagina/e 735-770, ISSN 0178-8051
Editore: Springer Verlag
DOI: 10.1007/s00440-020-00988-5

Forests, Cumulants, Martingales

Autori: Peter K. Friz; Jim Gatheral; Radoš Radoičić
Pubblicato in: Ann. Probab., Numero 50(4): 1418-1445 (July 2022), 2022, ISSN 0091-1798
Editore: Institute of Mathematical Statistics
DOI: 10.1214/21-aop1560

Couplings via Comparison Principle and Exponential Ergodicity of SPDEs in the Hypoelliptic Setting

Autori: Oleg Butkovsky, Michael Scheutzow
Pubblicato in: Commun. Math. Phys., Numero 379, 1001–1034 (2020)., 2020, ISSN 0010-3616
Editore: Springer Verlag
DOI: 10.1007/s00220-020-03834-w

The moving frame method for iterated-integrals: orthogonal invariants

Autori: Diehl, Joscha; Preiß, Rosa; Ruddy, Michael; Tapia, Nikolas
Pubblicato in: Foundations of Computational Mathematics, Numero 2022, 2022, ISSN 1615-3375
Editore: Springer Verlag
DOI: 10.1007/s10208-022-09569-5

A support theorem for SLE curves

Autori: Huy Tran, Yizheng Yuan
Pubblicato in: Electronic Journal of Probability, Numero 25/none, 2020, ISSN 1083-6489
Editore: Institute of Mathematical Statistics
DOI: 10.1214/20-ejp425

Approximation of SDEs: a stochastic sewing approach

Autori: Oleg Butkovsky, K. Dareiotis, K., M. Gerencsér,
Pubblicato in: Probab. Theory Relat. Fields, Numero 181, 975–1034 (2021), 2021, ISSN 0178-8051
Editore: Springer Verlag
DOI: 10.1007/s00440-021-01080-2

Differential equations driven by rough paths with jumps

Autori: Peter K. Friz; Huilin Zhang; Huilin Zhang
Pubblicato in: Journal of Differential Equations, Numero Volume 264, 2018, 2018, ISSN 0022-0396
Editore: Academic Press
DOI: 10.1016/j.jde.2018.01.031

Precise Laplace asymptotics for singular stochastic PDEs: The case of 2D gPAM

Autori: Friz, Peter K.; Klose, Tom
Pubblicato in: J. Funct. Anal., Numero 109446, 2022, 2021, ISSN 0022-1236
Editore: Academic Press
DOI: 10.1016/j.jfa.2022.109446

Regularity of SLE in $$(t,\kappa )$$ and refined GRR estimates

Autori: Peter K. Friz, Huy Tran, Yizheng Yuan
Pubblicato in: Probability Theory and Related Fields, Numero 180/1-2, 2021, Pagina/e 71-112, ISSN 0178-8051
Editore: Springer Verlag
DOI: 10.1007/s00440-021-01058-0

Smooth Rough Paths, Their Geometry and Algebraic Renormalization

Autori: Carlo Bellingeri; Peter K. Friz; Sylvie Paycha; Rosa Preiß
Pubblicato in: Vietnam J. Math., Numero 50, 719–761 (2022), 2022, ISSN 2305-221X
Editore: Springer Science + Business Media
DOI: 10.1007/s10013-022-00570-7

Support theorem for a singular SPDE: The case of gPAM

Autori: Khalil Chouk, Peter Friz
Pubblicato in: Ann. Inst. H. Poincaré Probab. Statist., 2018, ISSN 0246-0203
Editore: Elsevier BV
DOI: 10.1214/16-aihp800

Besov rough path analysis

Autori: Peter K. Friz; Benjamin Seeger; Pavel Zorin-Kranich
Pubblicato in: Journal of Differential Equations, Numero Volume 339, 2022,, 2022, ISSN 0022-0396
Editore: Academic Press
DOI: 10.1016/j.jde.2022.08.008

Malliavin calculus for regularity structures: The case of gPAM

Autori: Giuseppe Cannizzaro; Peter K. Friz; Paul Gassiat
Pubblicato in: Journal of Functional Analysis, Numero 2017, 272, pp.363 - 419, 2017, ISSN 0022-1236
Editore: Academic Press
DOI: 10.1016/j.jfa.2016.09.024

Eikonal equations and pathwise solutions to fully non-linear SPDEs

Autori: Peter K. Friz, Paul Gassiat, Pierre-Louis Lions, Panagiotis E. Souganidis
Pubblicato in: Stochastics and Partial Differential Equations: Analysis and Computations, Numero 5/2, 2017, Pagina/e 256-277, ISSN 2194-0401
Editore: Springer
DOI: 10.1007/s40072-016-0087-9

The enhanced Sanov theorem and propagation of chaos

Autori: Jean-Dominique Deuschel, Peter K. Friz, Mario Maurelli, Martin Slowik
Pubblicato in: Stochastic Processes and their Applications, Numero 128/7, 2018, Pagina/e 2228-2269, ISSN 0304-4149
Editore: Elsevier BV
DOI: 10.1016/j.spa.2017.09.010

ON THE REGULARITY OF SLE TRACE

Autori: PETER K. FRIZ, HUY TRAN
Pubblicato in: Forum of Mathematics, Sigma, Numero 5, 2017, ISSN 2050-5094
Editore: CUP
DOI: 10.1017/fms.2017.18

VARIETIES OF SIGNATURE TENSORS

Autori: CARLOS AMÉNDOLA, PETER FRIZ, BERND STURMFELS
Pubblicato in: Forum of Mathematics, Sigma, Numero 7, 2019, ISSN 2050-5094
Editore: Cambridge University Press
DOI: 10.1017/fms.2019.3

A rough path perspective on renormalization

Autori: Y. Bruned, I. Chevyrev, P.K. Friz, R. Preiß
Pubblicato in: Journal of Functional Analysis, Numero 60, 2019, Pagina/e 108283, ISSN 0022-1236
Editore: Academic Press
DOI: 10.1016/j.jfa.2019.108283

Rough path metrics on a Besov–Nikolskii-type scale

Autori: Peter K. Friz, David J. Prömel
Pubblicato in: Transactions of the American Mathematical Society, Numero 370/12, 2018, Pagina/e 8521-8550, ISSN 0002-9947
Editore: American Mathematical Society
DOI: 10.1090/tran/7264

Pathwise McKean–Vlasov theory with additive noise

Autori: Michele Coghi, Jean-Dominique Deuschel, Peter K. Friz, Mario Maurelli
Pubblicato in: The Annals of Applied Probability, Numero 30/5, 2020, ISSN 1050-5164
Editore: Institute of Mathematical Statistics
DOI: 10.1214/20-aap1560

Deterministic homogenization for discrete-time fast-slow systems under optimal moment assumptions

Autori: Chevyrev, Ilya; Friz, Peter K.; Korepanov, Alexey; Melbourne, Ian; Zhang, Huilin
Pubblicato in: Ann. Inst. H. Poincaré Probab. Statist., Numero 58(3): 1328-1350, 2022, 2022, ISSN 0246-0203
Editore: Elsevier BV
DOI: 10.1214/21-aihp1203

Short-time near-the-money skew in rough fractional volatility models

Autori: C. Bayer, P. K. Friz, A. Gulisashvili, B. Horvath, B. Stemper
Pubblicato in: Quantitative Finance, Numero 19/5, 2018, Pagina/e 779-798, ISSN 1469-7688
Editore: Institute of Physics Publishing
DOI: 10.1080/14697688.2018.1529420

Canonical RDEs and general semimartingales as rough paths

Autori: Ilya Chevyrev, Peter K. Friz
Pubblicato in: The Annals of Probability, Numero 47/1, 2019, Pagina/e 420-463, ISSN 0091-1798
Editore: Institute of Mathematical Statistics
DOI: 10.1214/18-aop1264

A regularity structure for rough volatility

Autori: Christian Bayer, Peter K. Friz, Paul Gassiat, Jorg Martin, Benjamin Stemper
Pubblicato in: Mathematical Finance, Numero 30/3, 2020, Pagina/e 782-832, ISSN 0960-1627
Editore: Blackwell Publishing Inc.
DOI: 10.1111/mafi.12233

Unified signature cumulants and generalized Magnus expansions

Autori: Peter K. Friz; Paul P. Hager; Nikolas Tapia
Pubblicato in: Forum of Mathematics, Sigma,, Numero 10, E42., 2022, ISSN 2050-5094
Editore: Cambridge
DOI: 10.1017/fms.2022.20

A McKean-Vlasov SDE and particle system with interaction from reflecting boundaries

Autori: Michele Coghi; Wolfgang Dreyer; Peter K. Friz; Paul Gajewski; Clemens Guhlke; Mario Maurelli
Pubblicato in: SIAM Journal on Mathematical Analysis, Numero Vol. 54, Iss. 2 (2022), 2022, ISSN 0036-1410
Editore: Society for Industrial and Applied Mathematics
DOI: 10.1137/21m1409421

Singular paths spaces and applications

Autori: Carlo Bellingeri; Peter K. Friz; Máté Gerencsér
Pubblicato in: Stochastic Analysis and Applications,, Numero 40:6, 1126-1149, 2022., 2022, ISSN 0736-2994
Editore: Marcel Dekker Inc.
DOI: 10.1080/07362994.2021.1988641

Transport and continuity equations with (very) rough noise

Autori: Carlo Bellingeri; Ana Djurdjevac; Peter K. Friz; Nikolas Tapia
Pubblicato in: SN Partial Differential Equations and Applications Partial Differ. Equ. Appl., Numero 2, 49 (2021), 2021, ISSN 2662-2963
Editore: Springer
DOI: 10.1007/s42985-021-00101-y

Rough semimartingales and $p$-variation estimates for martingale transforms

Autori: Friz, Peter and Zorin-Kranich, Pavel
Pubblicato in: to appear Annals of Probability, Numero arXiv, 2022
Editore: arXiv
DOI: 10.48550/arxiv.2008.08897

Rough stochastic differential equations

Autori: Peter K. Friz, Antoine Hocquet, Khoa Lê
Pubblicato in: arXiv, Numero 2022, 2022
Editore: arXiv
DOI: 10.48550/arxiv.2106.10340

ALMOST SURE DIFFUSION APPROXIMATION IN AVERAGINGVIA ROUGH PATHS THEORY

Autori: Peter Friz, Yuri Kifer
Pubblicato in: arXiv, Numero 2022, 2022
Editore: arXiv
DOI: 10.48550/arxiv.2111.05390

Law of the SLE tip

Autori: Oleg Butkovsky, Vlad Margarint, Yizheng Yuan
Pubblicato in: to appear EJP, Numero 2021, 2021
Editore: arXiv
DOI: 10.48550/arxiv.2110.11247

Well-posedness of stochastic heat equation with distributional drift and skew stochastic heat equation

Autori: Athreya, Siva; Butkovsky, Oleg; L��, Khoa; Mytnik, Leonid
Pubblicato in: to appear in CPAM, Numero 2023 (tbc), 2021
Editore: arXiv
DOI: 10.48550/arxiv.2011.13498

A Course on Rough Paths - With an Introduction to Regularity Structures

Autori: P. Friz and M. Hairer
Pubblicato in: Numero Second edition of [Friz-Hairer; Universitext. Springer, Cham; 2014],, 2020, Pagina/e 1-346, ISBN 978-3-030-41556-3
Editore: Springer
DOI: 10.1007/978-3-030-41556-3

Precise asymptotics: Robust stochastic volatility models

Autori: P. K. Friz, P. Gassiat, P. Pigato
Pubblicato in: The Annals of Applied Probability, Numero 31/2, 2021, ISSN 1050-5164
Editore: Institute of Mathematical Statistics
DOI: 10.1214/20-aap1608

Asymptotics of the eigenvalues of the Anderson Hamiltonian with white noise potential in two dimensions

Autori: Khalil Chouk, Willem van Zuijlen
Pubblicato in: The Annals of Probability, Numero 49/4, 2021, ISSN 0091-1798
Editore: Institute of Mathematical Statistics
DOI: 10.1214/20-aop1497

Multiscale Systems, Homogenization, and Rough Paths

Autori: Ilya Chevyrev, Peter K. Friz, Alexey Korepanov, Ian Melbourne, Huilin Zhang
Pubblicato in: Probability and Analysis in Interacting Physical Systems - In Honor of S.R.S. Varadhan, Berlin, August, 2016, Numero 283, 2019, Pagina/e 17-48, ISBN 978-3-030-15337-3
Editore: Springer International Publishing
DOI: 10.1007/978-3-030-15338-0_2

Pubblicazioni

Condividi questa pagina

Scarica