The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence

Published:2020-10-28 Issue:1 Volume:53 Page:285-299
ISSN:0024-6093
Container-title:Bulletin of the London Mathematical Society
language:en
Short-container-title:Bull. London Math. Soc.

Author:

Boedihardjo Horatio¹,Diehl Joscha²,Mezzarobba Marc³,Ni Hao⁴

Affiliation:

1. Department of Statistics University of Warwick Coventry CV4 7AL United Kingdom

2. Institut für Mathematik und Informatik Universität Greifswald Walther‐Rathenau‐Str. 47 Greifswald D‐17489 Germany

3. Laboratoire d'informatique de Paris 6 CNRS Sorbonne Université LIP6, Campus Pierre et Marie Curie Paris F‐75005 France

4. Mathematics Department University College London Gower Street London WC1E 6BT United Kingdom

Funder

Agence Nationale de la Recherche

Engineering and Physical Sciences Research Council

Publisher

Wiley

Subject

General Mathematics

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1112/blms.12420

Reference14 articles.

1. The signature of a rough path: Uniqueness

2. Characteristic functions of measures on geometric rough paths

3. Convergence rates for the full Gaussian rough paths

4. Multidimensional Stochastic Processes as Rough Paths

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The Barycenter in Free Nilpotent Lie Groups and Its Application to Iterated-Integrals Signatures;SIAM Journal on Applied Algebra and Geometry;2024-08-13

2. Joint calibration to SPX and VIX options with signature‐based models;Mathematical Finance;2024-07-31

3. Topologies on unparameterised path space;Journal of Functional Analysis;2024-02

4. On the Wiener chaos expansion of the signature of a Gaussian process;Probability Theory and Related Fields;2024-01-04

5. Sig‐Wasserstein GANs for conditional time series generation;Mathematical Finance;2023-11-07

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3