Forests, cumulants, martingales

DOI10.1214/21-AOP1560MaRDI QIDQ2139104FDOQ2139104

Radoš Radoičić, Jim Gatheral, 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)

Cites Work

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• Title not available (Why is that?)
• A variational representation for certain functionals of Brownian motion
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Solving the KPZ equation
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Differential equations driven by rough signals
• A multifactor volatility Heston model
• Distribution function inequalities for martingales
• Affine Diffusion Processes: Theory and Applications
• On the solution of linear differential equations in Lie groups
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• Functional Itô calculus
• Brownian motion martingales and stochastic calculus
• KPZ reloaded
• Cumulants on the Wiener space
• Gaussian Hilbert Spaces
• A combinatorial method for calculating the moments of Lévy area
• RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
• The characteristic function of rough Heston models
• Affine Volterra processes
• Affine forward variance models
• A course on rough paths. With an introduction to regularity structures
• Realized cumulants for martingales
• Exponentiation of conditional expectations under stochastic volatility
• Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
• Hopf-algebraic Deformations of Products and Wick Polynomials

Cited In (5)

• Unified signature cumulants and generalized Magnus expansions
• Forests, cumulants, martingales
• Title not available (Why is that?)
• Statistical inference for rough volatility: minimax theory
• A probabilistic approach of ultraviolet renormalization in the boundary sine-Gordon model

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