Forests, cumulants, martingales
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Publication:2139104
DOI10.1214/21-AOP1560MaRDI QIDQ2139104
Radoš Radoičić, Jim Gatheral, Peter K. Friz
Publication date: 17 May 2022
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.01448
momentscumulantsregular perturbationHermite polynomialsWiener chaosLévy areaforestsdiamond productcontinuous martingalesHeston and forward variance modelsKPZ type (Wild) expansion
Martingales with continuous parameter (60G44) Stochastic analysis (60H99) Algebraic structures and computation (60L70)
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