Zobrazeno 1 - 10
of 28
pro vyhledávání: '"Ferrucci, Emilio"'
Utilising classical results on the structure of Hopf algebras, we develop a novel approach for the construction of cubature formulae on Wiener space based on unshuffle expansions. We demonstrate the effectiveness of this approach by constructing the
Externí odkaz:
http://arxiv.org/abs/2411.13707
Autor:
Manten, Georg, Casolo, Cecilia, Ferrucci, Emilio, Mogensen, Søren Wengel, Salvi, Cristopher, Kilbertus, Niki
Inferring the causal structure underlying stochastic dynamical systems from observational data holds great promise in domains ranging from science and health to finance. Such processes can often be accurately modeled via stochastic differential equat
Externí odkaz:
http://arxiv.org/abs/2402.18477
Branched rough paths, defined as characters over the Connes-Kreimer Hopf algebra $\mathcal{H}_\mathrm{CK}$, constitute integration theories that may fail to satisfy the usual integration by parts identity. Using known results on the primitive element
Externí odkaz:
http://arxiv.org/abs/2312.04523
Autor:
Hoglund, Melker, Ferrucci, Emilio, Hernandez, Camilo, Gonzalez, Aitor Muguruza, Salvi, Cristopher, Sanchez-Betancourt, Leandro, Zhang, Yufei
We propose a novel framework for solving continuous-time non-Markovian stochastic control problems by means of neural rough differential equations (Neural RDEs) introduced in Morrill et al. (2021). Non-Markovianity naturally arises in control problem
Externí odkaz:
http://arxiv.org/abs/2306.14258
Autor:
Ferrucci, Emilio, Cass, Thomas
We compute the Wiener chaos decomposition of the signature for a class of Gaussian processes, which contains fractional Brownian motion (fBm) with Hurst parameter H in (1/4, 1). At level 0, our result yields an expression for the expected signature o
Externí odkaz:
http://arxiv.org/abs/2207.08422
Autor:
Ferrucci, Emilio
A branched rough path $X$ consists of a rough integral calculus for $X \colon [0, T] \to \mathbb R^d$ which may fail to satisfy integration by parts. Using Kelly's bracket extension [Kel12], we define a notion of pushforward of branched rough paths t
Externí odkaz:
http://arxiv.org/abs/2205.00582
We develop the structure theory for transformations of weakly geometric rough paths of bounded $1 < p$-variation and their controlled paths. Our approach differs from existing approaches as it does not rely on smooth approximations. We derive an expl
Externí odkaz:
http://arxiv.org/abs/2112.08034
We provide a theory of manifold-valued rough paths of bounded 3 > p-variation, which we do not assume to be geometric. Rough paths are defined in charts, and coordinate-free (but connection-dependent) definitions of the rough integral of cotangent bu
Externí odkaz:
http://arxiv.org/abs/2007.06970
In [ABF19] the authors define three projections of Rd-valued stochastic differential equations (SDEs) onto submanifolds: the Stratonovich, Ito-vector and Ito-jet projections. In this paper, after a brief survey of SDEs on manifolds, we begin by givin
Externí odkaz:
http://arxiv.org/abs/1810.03923
Autor:
Cass, Thomas1 (AUTHOR), Ferrucci, Emilio2 (AUTHOR) Emilio.RossiFerrucci@maths.ox.ac.uk
Publikováno v:
Probability Theory & Related Fields. Aug2024, Vol. 189 Issue 3/4, p909-947. 39p.
