Forests, cumulants, martingales (Q2139104): Difference between revisions

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+MaRDI publication profile
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+Affine Volterra processes
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+Exponentiation of conditional expectations under stochastic volatility
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+A variational representation for certain functionals of Brownian motion
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+Quadratic BSDEs with convex generators and unbounded terminal conditions
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+Distribution function inequalities for martingales
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+Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
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+A multifactor volatility Heston model
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+Functional Itô calculus
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+Hopf-algebraic Deformations of Products and Wick Polynomials
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+The characteristic function of rough Heston models
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+Affine Diffusion Processes: Theory and Applications
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+A course on rough paths. With an introduction to regularity structures
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+Realized cumulants for martingales
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+Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
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+Affine forward variance models
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+RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
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+KPZ reloaded
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+Solving the KPZ equation
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+On the solution of linear differential equations in Lie groups
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+Gaussian Hilbert Spaces
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+Q4004325
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+Backward stochastic differential equations and partial differential equations with quadratic growth.
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+Brownian motion martingales and stochastic calculus
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+A combinatorial method for calculating the moments of Lévy area
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+Q5598785
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+Differential equations driven by rough signals
@@ Property / cites work: Differential equations driven by rough signals / rank @@
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+Cumulants on the Wiener space
@@ Property / cites work: Cumulants on the Wiener space / rank @@
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