Forests, cumulants, martingales

DOI10.1214/21-AOP1560MaRDI QIDQ2139104zbMATH OpenFDO

Authors Jim Gatheral, Radoš Radoičić, Peter 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

zbMATH Keywords

momentsHermite polynomialsWiener chaosforestscumulantsdiamond product[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+area&go=Go L��vy area]continuous martingalesregular perturbationHeston and forward variance modelsKPZ type (Wild) expansion

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic analysis (60H99) Algebraic structures and computation (60L70)

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Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 3319139 (Why is no real title available?)
• A combinatorial method for calculating the moments of Lévy area
• A course on rough paths. With an introduction to regularity structures
• A multifactor volatility Heston model
• A variational representation for certain functionals of Brownian motion
• Affine Volterra processes
• Affine diffusion processes: theory and applications
• Affine forward variance models
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Brownian motion martingales and stochastic calculus
• Cumulants on the Wiener space
• Differential equations driven by rough signals
• Distribution function inequalities for martingales
• Exponentiation of conditional expectations under stochastic volatility
• Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
• Functional Itô calculus
• Gaussian Hilbert Spaces
• Hopf-algebraic deformations of products and Wick polynomials
• KPZ reloaded
• On the solution of linear differential equations in Lie groups
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Rational approximation of the rough Heston solution
• Realized cumulants for martingales
• Solving the KPZ equation
• The characteristic function of rough Heston models
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations

Cited in

(5)

• Unified signature cumulants and generalized Magnus expansions
• scientific article; zbMATH DE number 1537528 (Why is no real title available?)
• Statistical inference for rough volatility: minimax theory
• A probabilistic approach of ultraviolet renormalization in the boundary sine-Gordon model
• Forests, cumulants, martingales

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