| Publication | Date of Publication | Type |
|---|
| Rectifiable paths with polynomial log-signature are straight lines | 2024-11-27 | Paper |
| Almost sure diffusion approximation in averaging via rough paths theory | 2024-10-07 | Paper |
| ntapiam/resnets | 2024-03-06 | Software |
| Local volatility under rough volatility | 2024-01-31 | Paper |
| Reconstructing volatility: Pricing of index options under rough volatility | 2023-09-28 | Paper |
| Rough PDEs for local stochastic volatility models | 2023-07-18 | Paper |
| Rectifiable paths with polynomial log-signature are straight lines | 2023-05-30 | Paper |
| Rough semimartingales and \(p\)-variation estimates for martingale transforms | 2023-05-10 | Paper |
| Stability of Deep Neural Networks via Discrete Rough Paths | 2023-03-30 | Paper |
| Weak error estimates for rough volatility models | 2022-12-03 | Paper |
| Simulation of Error Bounds | 2022-12-03 | Software |
| Singular paths spaces and applications | 2022-10-28 | Paper |
| Besov rough path analysis (with an appendix by Pavel Zorin-Kranich) | 2022-10-13 | Paper |
| Deterministic homogenization under optimal moment assumptions for fast-slow systems. II | 2022-07-22 | Paper |
| Smooth rough paths, their geometry and algebraic renormalization | 2022-07-15 | Paper |
| Unified signature cumulants and generalized Magnus expansions | 2022-06-13 | Paper |
| Forests, cumulants, martingales | 2022-05-17 | Paper |
| Short-dated smile under rough volatility: asymptotics and numerics | 2022-05-05 | Paper |
| A McKean--Vlasov SDE and Particle System with Interaction from Reflecting Boundaries | 2022-04-20 | Paper |
| Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM | 2022-04-20 | Paper |
| Stability of Deep Neural Networks via discrete rough paths | 2022-01-19 | Paper |
| Transport and continuity equations with (very) rough noise | 2021-12-17 | Paper |
| Almost sure diffusion approximation in averaging via rough paths theory | 2021-11-09 | Paper |
| Precise asymptotics: robust stochastic volatility models | 2021-11-04 | Paper |
| Pricing under rough volatility | 2021-07-16 | Paper |
| Rough stochastic differential equations | 2021-06-18 | Paper |
| Regularity of SLE in \((t,\kappa)\) and refined GRR estimates | 2021-06-11 | Paper |
| Besov rough path analysis | 2021-05-12 | Paper |
| A regularity structure for rough volatility | 2021-03-23 | Paper |
| Pathwise McKean-Vlasov theory with additive noise | 2021-03-18 | Paper |
| Precise Laplace asymptotics for singular stochastic PDEs: The case of 2D gPAM | 2021-02-26 | Paper |
| Unified Signature Cumulants and Generalized Magnus Expansions | 2021-02-05 | Paper |
| Superdiffusive limits for deterministic fast-slow dynamical systems | 2020-11-08 | Paper |
| A course on rough paths. With an introduction to regularity structures | 2020-06-23 | Paper |
| Forests, cumulants, martingales | 2020-02-04 | Paper |
| Multiscale systems, homogenization, and rough paths | 2020-01-29 | Paper |
| Existence, uniqueness and stability of semi-linear rough partial differential equations | 2019-12-13 | Paper |
| A rough path perspective on renormalization | 2019-10-07 | Paper |
| Short-time near-the-money skew in rough fractional volatility models | 2019-09-26 | Paper |
| VARIETIES OF SIGNATURE TENSORS | 2019-04-30 | Paper |
| Canonical RDEs and general semimartingales as rough paths | 2019-03-14 | Paper |
| Examples of renormalized SDEs | 2019-01-22 | Paper |
| On the Probability Density Function of Baskets | 2018-12-11 | Paper |
| Extrapolation Analytics for Dupire’s Local Volatility | 2018-12-11 | Paper |
| Rough path metrics on a Besov–Nikolskii-type scale | 2018-10-18 | Paper |
| Option pricing in the moderate deviations regime | 2018-08-16 | Paper |
| Local Volatility, Conditioned Diffusions, and Varadhan's Formula | 2018-08-10 | Paper |
| Stochastic many-particle model for LFP electrodes | 2018-08-09 | Paper |
| Support theorem for a singular SPDE: the case of gPAM | 2018-06-01 | Paper |
| The enhanced Sanov theorem and propagation of chaos | 2018-06-01 | Paper |
| ON THE REGULARITY OF SLE TRACE | 2018-04-23 | Paper |
| Regularity Theory for Rough Partial Differential Equations and Parabolic Comparison Revisited | 2018-04-09 | Paper |
| Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac | 2018-03-23 | Paper |
| Differential equations driven by rough paths with jumps | 2018-03-12 | Paper |
| On the existence of SLE trace: finite energy drivers and non-constant \(\kappa \) | 2018-02-05 | Paper |
| General rough integration, Lévy rough paths and a Lévy-Kintchine-type formula | 2017-10-05 | Paper |
| Stochastic control with rough paths | 2017-09-01 | Paper |
| Eikonal equations and pathwise solutions to fully non-linear SPDEs | 2017-08-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2973952 | 2017-04-05 | Paper |
| Pathwise stability of likelihood estimators for diffusions via rough paths | 2016-11-16 | Paper |
| Malliavin calculus for regularity structures: the case of gPAM | 2016-11-09 | Paper |
| Stochastic scalar conservation laws driven by rough paths | 2016-08-26 | Paper |
| From rough path estimates to multilevel Monte Carlo | 2016-05-20 | Paper |
| The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory | 2016-04-21 | Paper |
| Physical Brownian motion in a magnetic field as a rough path | 2015-09-08 | Paper |
| Robustness in Stochastic Filtering and Maximum Likelihood Estimation for SDEs | 2015-06-18 | Paper |
| How to make Dupire’s local volatility work with jumps | 2015-04-16 | Paper |
| Support theorem for a singular semilinear stochastic partial differential equation | 2014-09-15 | Paper |
| A course on rough paths. With an introduction to regularity structures | 2014-07-30 | Paper |
| Rough path stability of (semi-)linear SPDEs | 2014-04-25 | Paper |
| Convergence rates for the full Gaussian rough paths | 2014-03-10 | Paper |
| Semi-closed form cubature and applications to financial diffusion models | 2014-02-20 | Paper |
| Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations | 2014-02-18 | Paper |
| Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications | 2014-02-18 | Paper |
| Doob--Meyer for rough paths | 2014-02-11 | Paper |
| Varadhan's formula, conditioned diffusions, and local volatilities | 2013-11-06 | Paper |
| Robust filtering: correlated noise and multidimensional observation | 2013-10-25 | Paper |
| Cubature on Wiener space: pathwise convergence | 2013-08-09 | Paper |
| On refined volatility smile expansion in the Heston model | 2013-06-27 | Paper |
| Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] | 2013-05-29 | Paper |
| On the Variational Regularity of Cameron-Martin paths | 2013-05-13 | Paper |
| Integrability of (Non-)Linear Rough Differential Equations and Integrals | 2013-04-26 | Paper |
| Spatial rough path lifts of stochastic convolutions | 2012-10-31 | Paper |
| Backward stochastic differential equations with rough drivers | 2012-08-17 | Paper |
| A note on higher dimensional \(p\)-variation | 2012-06-22 | Paper |
| Malliavin calculus and rough paths | 2011-11-11 | Paper |
| Convergence rates for the full Brownian rough paths with applications to limit theorems for stochastic flows | 2011-11-11 | Paper |
| On the splitting-up method for rough (partial) differential equations | 2011-06-17 | Paper |
| Don't stay local - extrapolation analytics for Dupire's local volatility | 2011-05-06 | Paper |
| Is the Minimum Value of an Option on Variance Generated by Local Volatility? | 2011-05-02 | Paper |
| A (rough) pathwise approach to a class of non-linear stochastic partial differential equations | 2011-03-14 | Paper |
| Parabolic comparison revisited and applications | 2011-02-28 | Paper |
| A generalized Fernique theorem and applications | 2010-10-29 | Paper |
| Differential equations driven by Gaussian signals | 2010-07-21 | Paper |
| Densities for rough differential equations under Hörmander's condition | 2010-05-27 | Paper |
| Multidimensional Stochastic Processes as Rough Paths | 2010-03-04 | Paper |
| From random walks to rough paths | 2009-10-09 | Paper |
| Large deviation principle for enhanced Gaussian processes | 2009-09-17 | Paper |
| Partial differential equations driven by rough paths | 2009-06-10 | Paper |
| Rough path limits of the Wong-Zakai type with a modified drift term | 2009-06-04 | Paper |
| Non-degeneracy of Wiener functionals arising from rough differential equations | 2009-05-27 | Paper |
| REGULAR VARIATION AND SMILE ASYMPTOTICS | 2009-03-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3526646 | 2008-09-25 | Paper |
| On uniformly subelliptic operators and stochastic area | 2008-09-23 | Paper |
| Smile Asymptotics II: Models with Known Moment Generating Functions | 2008-04-30 | Paper |
| Euler estimates for rough differential equations | 2008-01-28 | Paper |
| Differential Equations Driven by Gaussian Signals II | 2007-11-05 | Paper |
| Isoperimetry and Rough Path Regularity | 2007-11-01 | Paper |
| Good rough path sequences and applications to anticipating stochastic calculus | 2007-06-22 | Paper |
| A variation embedding theorem and applications | 2007-01-09 | Paper |
| A note on the notion of geometric rough paths | 2006-10-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5290444 | 2006-04-28 | Paper |
| Lévy's area under conditioning | 2006-04-28 | Paper |
| The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance | 2006-04-13 | Paper |
| Valuation of volatility derivatives as an inverse problem | 2006-03-08 | Paper |
| Approximations of the Brownian rough path with applications to stochastic analysis | 2005-08-05 | Paper |
| Good Rough Path Sequences and Applications to Anticipating & Fractional Stochastic Calculus | 2005-01-13 | Paper |
| Application of large deviation methods to the pricing of index options in finance. | 2003-09-23 | Paper |
| Constructing an elementary measure on a space of projections. | 2002-06-04 | Paper |
| Smooth attractors have zero ``thickness | 2001-10-28 | Paper |
| Parametrising the attractor of the two-dimensional Navier-Stokes equations with a finite number of nodal values | 2001-09-18 | Paper |
| Nodal parametrisation of analytic attractors | 2001-01-01 | Paper |
| Parametrising the attractor of the two-dimensional Navier-Stokes equations with a finite number of nodal values | 2000-12-19 | Paper |
| Towards Abstract Wiener Model Spaces | N/A | Paper |
| Nonlinear effects within invariance principles | N/A | Paper |
| Generalized Euler-Maclaurin formula and Signatures | N/A | Paper |
