Singular paths spaces and applications

DOI10.1080/07362994.2021.1988641MaRDI QIDQ5046316zbMATH OpenOpenAlexFDO

Authors Peter Friz, Máté Gerencsér, Carlo Bellingeri

Publication date 28 October 2022

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2003.03352

zbMATH Keywords

Hölder spacesrough pathsrough volatilitySLE trace

Mathematics Subject Classification ID

Lipschitz (Hölder) classes (26A16) Singular functions, Cantor functions, functions with other special properties (26A30) Kernel functions in one complex variable and applications (30C40) Probability distributions: general theory (60E05) Path integrals in quantum mechanics (81S40)

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Cites work

• A course on rough paths. With an introduction to regularity structures
• A regularity structure for rough volatility
• A rough path perspective on renormalization
• A theory of regularity structures
• A variation embedding theorem and applications
• Basic properties of SLE
• Controlling rough paths
• Differential equations driven by rough signals
• Hölder regularity of the SLE trace
• On the existence of SLE trace: finite energy drivers and non-constant \(\kappa \)
• ON THE REGULARITY OF SLE TRACE
• Optimal Hölder exponent for the SLE path
• Precise asymptotics: robust stochastic volatility models
• Pricing under rough volatility
• Ramification of rough paths
• Regularity of Schramm-Loewner evolutions, annular crossings, and rough path theory
• Remarks on Loewner chains driven by finite variation functions
• Renormalising SPDEs in regularity structures
• Singular SPDEs in domains with boundaries
• Uniqueness of signature for simple curves

Cited in

(7)

• Regularisation by regular noise
• Rough paths and SPDE
• Singular linear space and its applications
• Taming singular stochastic differential equations: a numerical method
• Stochastic equations with singular drift driven by fractional Brownian motion
• Refined regularity of SLE
• A semigroup approach to the reconstruction theorem and the multilevel Schauder estimate for singular modelled distributions

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