Related papers: Ramification of Volterra-type Rough Paths
We establish an explicit expression for the conditional Laplace transform of the integrated Volterra Wishart process in terms of a certain resolvent of the covariance function. The core ingredient is the derivation of the conditional…
This paper is concerned with portfolio selection for an investor with power utility in multi-asset financial markets in a rough stochastic environment. We investigate Merton's portfolio problem for different multivariate Volterra models,…
For a wide variety of regularization methods, algorithms computing the entire solution path have been developed recently. Solution path algorithms do not only compute the solution for one particular value of the regularization parameter but…
We consider stochastic partial differential equations appearing as Markovian lifts of matrix valued (affine) Volterra type processes from the point of view of the generalized Feller property (see e.g., \cite{doetei:10}). We introduce in…
We develop a fundamental framework for and extend the theory of rough paths to Lipschitz-gamma manifolds.
We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of…
We study nearly unstable bivariate cumulative heavy-tailed INAR($\infty$) processes and show that, under a one-factor parameterization and a suitable scaling, they converge to the rough Heston model. This yields a discrete-time…
We develop the rough path counterpart of It\^o stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (It\^o / forward) stochastic differential equations treatable…
Rough Volterra volatility models are a progressive and promising field of research in derivative pricing. Although rough fractional stochastic volatility models already proved to be superior in real market data fitting, techniques used in…
We show how to use geometric arguments to prove that the terminal solution to a rough differential equation driven by a geometric rough path can be obtained by driving the same equation by a piecewise linear path. For this purpose, we…
We consider additive functionals of stationary Markov processes and show that under Kipnis-Varadhan type conditions they converge in rough path topology to a Stratonovich Brownian motion, with a correction to the Levy area that can be…
We study quadrature methods for solving Volterra integral equations of the first kind with smooth kernels under the presence of noise in the right-hand sides, with the quadrature methods being generated by linear multistep methods. The…
The results presented in this paper are a natural development of those described in the paper {\it The Volterra Integrable case. Novel analytical and numerical results} (OCNMP Vol.4 (2024) pp 188-211), where the authors reconsidered the…
Rendering volumetric scattering media, including clouds, fog, smoke, and other complex materials, is crucial for realism in computer graphics. Traditional path tracing, while unbiased, requires many long path samples to converge in scenes…
We establish pathwise continuity properties of solutions to a stochastic Volterra equation with an additive noise term given by a local martingale. The deterministic part is governed by an operator with an $H^\infty$-calculus and a scalar…
In the present paper, a Nystrom-type method for second kind Volterra integral equations is introduced and studied. The method makes use of generalized Bernstein polynomials, defined for continuous functions and based on equally spaced…
We consider some variations on the classical method of Runge for effectively determining integral points on certain curves. We first prove a version of Runge's theorem valid for higher-dimensional varieties, generalizing a uniform version…
We present algorithms that run in linear time on pointer machines for a collection of problems, each of which either directly or indirectly requires the evaluation of a function defined on paths in a tree. These problems previously had…
We study the incompressible Euler equation and prove that the set of weak solutions is path-connected. More precisely, we construct paths of H\"older regularity $C^{1/2}$, valued in $C^0_{t, loc} L^2_x$ endowed with the strong topology. The…
We consider the problem of identifying a parallel Wiener-Hammerstein structure from Volterra kernels. Methods based on Volterra kernels typically resort to coupled tensor decompositions of the kernels. However, in the case of parallel…