Dimitri Sotnikov
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List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| Malliavin calculus for signatures with applications to finance (available as arXiv preprint) | 2026-01-01 | Paper |
| Affine Structure of the Brownian Signature (available as arXiv preprint) | 2026-01-01 | Paper |
| Stochastic control with signatures via Riccati equations on the tensor algebra (available as arXiv preprint) | 2026-01-01 | Paper |
| Martingale property and moment explosions in signature volatility models (available as arXiv preprint) | 2025-01-01 | Paper |
| Exponentially Fading Memory Signature (available as arXiv preprint) | 2025-01-01 | Paper |
| Efficient Simulation of Hawkes Processes using their Affine Volterra Structure (available as arXiv preprint) | 2025-01-01 | Paper |
| Approximation and asymptotics in the superhedging problem for binary options Annals of Finance | 2024-12-23 | Paper |
Research outcomes over time
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