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

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-Peter K. Friz
@@ Property / author: Peter K. Friz / rank @@
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+Peter K. Friz
@@ Property / author: Peter K. Friz / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / cites work @@
+Affine Volterra processes
@@ Property / cites work: Affine Volterra processes / rank @@
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@@ Property / cites work @@
+Exponentiation of conditional expectations under stochastic volatility
+Normal rank
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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
@@ Property / cites work: A multifactor volatility Heston model / rank @@
+Normal rank
@@ Property / cites work @@
+Functional Itô calculus
@@ Property / cites work: Functional Itô calculus / rank @@
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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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@@ Property / cites work @@
+Affine Diffusion Processes: Theory and Applications
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@@ Property / cites work @@
+A course on rough paths. With an introduction to regularity structures
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@@ Property / cites work @@
+Realized cumulants for martingales
@@ Property / cites work: Realized cumulants for martingales / rank @@
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@@ Property / cites work @@
+Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
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@@ Property / cites work @@
+Affine forward variance models
@@ Property / cites work: Affine forward variance models / rank @@
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+RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
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@@ Property / cites work @@
+KPZ reloaded
@@ Property / cites work: KPZ reloaded / rank @@
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@@ Property / cites work @@
+Solving the KPZ equation
@@ Property / cites work: Solving the KPZ equation / rank @@
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@@ Property / cites work @@
+On the solution of linear differential equations in Lie groups
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@@ Property / cites work @@
+Gaussian Hilbert Spaces
@@ Property / cites work: Gaussian Hilbert Spaces / rank @@
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@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
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@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
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@@ Property / cites work @@
+Brownian motion martingales and stochastic calculus
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@@ Property / cites work @@
+A combinatorial method for calculating the moments of Lévy area
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@@ Property / cites work @@
+Q5598785
@@ Property / cites work: Q5598785 / rank @@
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@@ Property / cites work @@
+Differential equations driven by rough signals
@@ Property / cites work: Differential equations driven by rough signals / rank @@
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@@ Property / cites work @@
+Cumulants on the Wiener space
@@ Property / cites work: Cumulants on the Wiener space / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:2139104