Forests, cumulants, martingales (Q2139104)

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Forests, cumulants, martingales
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    title
    Forests, cumulants, martingales (English)
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    DOI
    10.1214/21-AOP1560
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    author
    Jim Gatheral
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    Radoš Radoičić
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    publication date
    17 May 2022
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    Mathematics Subject Classification ID
    60G44
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    60H99
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    60L70
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    zbMATH DE Number
    7527829
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    zbMATH Keywords
    continuous martingales
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    cumulants
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    diamond product
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    forests
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    Hermite polynomials
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    Heston and forward variance models
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    KPZ type (Wild) expansion
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    Lévy area
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    moments
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    regular perturbation
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    Wiener chaos
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