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UNIQUENESS FOR THE SIGNATURE OF A PATH OF BOUNDED VARIATION AND THE REDUCED PATH GROUP
3 references·11 citing·25 second hop
UNIQUENESS FOR THE SIGNATURE OF A PATH OF BOUNDED VARIATION AND THE REDUCED PATH GROUP (2006)UNIQUENESS FOR THE SIGNATURE OF A PATH OF…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…System Control and Rough Paths (2002)System Control and Rough PathsOptimal stopping with signatures (2023)Optimal stopping with signatu…Sig-SDEs model for quantitative finance (2020)Sig-SDEs model for quantitati…Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures (2019)Numerical Method for Model-fr…General rough integration, Lévy rough paths and a Lévy–Kintchine-type formula (2017)General rough integration, Lé…The signature of a rough path: Uniqueness (2016)The signature of a rough path…Discretely sampled signals and the rough Hoff process (2016)Discretely sampled signals an…Physical Brownian motion in a magnetic field as a rough path (2015)Physical Brownian motion in a…Rough paths, Signatures and the modelling of functions on streams (2014)Rough paths, Signatures and t…A feature set for streams and an application to high-frequency financial tick data (2014)A feature set for streams and…Extracting information from the signature of a financial data stream (2013)Extracting information from t…Stratonovich’s signatures of Brownian motion determine Brownian sample paths (2012)Stratonovich’s signatures of …Differential equations driven by rough signals (1998)Multidimensional Stochastic Processes as Rough Paths (2010)Canonical RDEs and general semimartingales as rough paths (2018)Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths (2013)Characteristic functions of measures on geometric rough paths (2016)A Data-Driven Market Simulator for Small Data Environments (2020)Signatory: differentiable computations of the signature and logsignature transforms, on both CPU and GPU (2020)Lévy Processes and Stochastic Calculus (2004)Signature-Based Models: Theory and Calibration (2023)Long memory in continuous‐time stochastic volatility models (1998)Random walks and Lévy processes as rough paths (2017)Volatility Is Rough (2018)Non-parametric Pricing and Hedging of Exotic Derivatives (2020)Dynamic Strategies for Asset Allocation (1988)A general version of the fundamental theorem of asset pricing (1994)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)A (rough) pathwise approach to a class of non-linear stochastic partial differential equations (2010)Analysis of the Rosenblatt process (2008)Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation (2008)Stochastic heat equation driven by fractional noise and local time (2008)Uniqueness for the signature of a path of bounded variation and the reduced path group (2010)Smoothness of the density for solutions to Gaussian rough differential equations (2014)A Wong-Zakai theorem for stochastic PDEs (2015)
this work references cited by second hop

References

  • 2002System Control and Rough Paths519 cited
  • 2007Differential Equations Driven by Rough Paths381 cited
  • 2007Differential Equations Driven by Rough Paths237 cited

Cited by

  • 2016The signature of a rough path: Uniqueness94 cited
  • 2014Rough paths, Signatures and the modelling of functions on streams73 cited
  • 2015Physical Brownian motion in a magnetic field as a rough path59 cited
  • 2017General rough integration, Lévy rough paths and a Lévy–Kintchine-type formula47 cited
  • 2014A feature set for streams and an application to high-frequency financial tick data47 cited
  • 2013Extracting information from the signature of a financial data stream44 cited
  • 2016Discretely sampled signals and the rough Hoff process40 cited
  • 2020Sig-SDEs model for quantitative finance28 cited
  • 2023Optimal stopping with signatures23 cited
  • 2012Stratonovich’s signatures of Brownian motion determine Brownian sample paths21 cited
  • 2019Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures20 cited

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