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Terry Lyons · Study
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Author
Terry Lyons
23 works
· latest 2020
· 3 institutions
cluster: provisional
ORCID 0000-0002-9972-2809
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23
Citations
3,670
Works here
23
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Most cited in this library
Differential equations driven by rough signals
1998 · 1,077 citations
System Control and Rough Paths
2002 · 519 citations
Differential Equations Driven by Rough Paths
2007 · 381 citations
Stochastic finance. an introduction in discrete time
2004 · 351 citations
Cubature on Wiener space
2004 · 196 citations
Works
23 shown
Non-parametric Pricing and Hedging of Exotic Derivatives
Applied Mathematical Finance
·
2020
·
3 authors
·
Open access
32
citations
Signatory: differentiable computations of the signature and logsignature transforms, on both CPU and GPU
arXiv (Cornell University)
·
2020
·
2 authors
·
preprint
·
Open access
52
citations
A Data-Driven Market Simulator for Small Data Environments
SSRN Electronic Journal
·
2020
·
5 authors
·
preprint
·
Open access
53
citations
Discretely sampled signals and the rough Hoff process
Stochastic Processes and their Applications
·
2016
·
3 authors
·
Open access
40
citations
The signature of a rough path: Uniqueness
Advances in Mathematics
·
2016
·
4 authors
·
Open access
94
citations
Physical Brownian motion in a magnetic field as a rough path
Transactions of the American Mathematical Society
·
2015
·
3 authors
·
Open access
59
citations
Evolving communities with individual preferences
Proceedings of the London Mathematical Society
·
2014
·
2 authors
·
Open access
33
citations
A feature set for streams and an application to high-frequency financial tick data
International Conference on Big Data Science and Computing (BigDataScience)
·
2014
·
3 authors
·
other
47
citations
Rough paths, Signatures and the modelling of functions on streams
RePEc: Research Papers in Economics
·
2014
·
1 author
·
preprint
·
Open access
73
citations
Extracting information from the signature of a financial data stream
RePEc: Research Papers in Economics
·
2013
·
4 authors
·
preprint
·
Open access
44
citations
Integrability and tail estimates for Gaussian rough differential equations
The Annals of Probability
·
2013
·
3 authors
·
Open access
85
citations
Efficient and Practical Implementations of Cubature on Wiener Space
Springer eBooks
·
2010
·
2 authors
·
chapter
38
citations
Differential Equations Driven by Rough Paths
Lecture notes in mathematics
·
2007
·
3 authors
·
book
381
citations
An extension theorem to rough paths
Annales de l Institut Henri Poincaré C Analyse Non Linéaire
·
2006
·
2 authors
·
Open access
84
citations
Stochastic finance. an introduction in discrete time
The Mathematical Intelligencer
·
2004
·
1 author
·
other
351
citations
Cubature on Wiener space
Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences
·
2004
·
2 authors
196
citations
System Control and Rough Paths
Oxford University Press eBooks
·
2002
·
2 authors
·
book
519
citations
Extending the Wong-Zakai theorem to reversible Markov processes
Journal of the European Mathematical Society
·
2002
·
3 authors
·
Open access
44
citations
Lévy area of Wiener processes in Banach spaces
The Annals of Probability
·
2002
·
3 authors
·
Open access
58
citations
Differential equations driven by rough signals
Revista Matemática Iberoamericana
·
1998
·
1 author
·
Open access
1,077
citations
Stochastic area for Brownian motion on the Sierpinski gasket
The Annals of Probability
·
1998
·
2 authors
37
citations
Random Generation of Stochastic Area Integrals
SIAM Journal on Applied Mathematics
·
1994
·
2 authors
99
citations
Differential equations driven by rough signals (I): an extension of an inequality of L. C. Young
Mathematical Research Letters
·
1994
·
1 author
·
Open access
174
citations