Forests, cumulants, martingales

DOI10.1214/21-AOP1560MaRDI QIDQ2139104FDOQ2139104

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

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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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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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