Related papers: Introduction to rough paths theory
Let $B=(B_1(t),..,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\alpha\le 1/4$, or more generally a Gaussian process whose paths have the same local regularity. Defining properly iterated integrals of $B$ is a…
We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices. Our main tool is the theory of regularity structures,…
We present a few techniques for proving $L^p$ estimates for martingales. Basic applications to It\^o integration and rough paths are included.
In these notes, we provide an introduction to a new regularity structure used for solving rough mean-field equations. The index set of this regularity structure is described a collection of novel objects which we refer to as Lions trees.…
We consider multi-dimensional Gaussian processes and give a new condition on the covariance, simple and sharp, for the existence of stochastic area(s). Gaussian rough paths are constructed with a variety of weak and strong approximation…
Rough path analysis is developed in the full Besov scale. This extends, and essentially concludes, an investigation started by [Pr\"omel--Trabs, Rough differential equations driven by signals in {B}esov spaces. J. Diff. Equ. 2016], further…
We investigate path integral formalism for continuum theory. It is shown that the path integral for the soft modes can be represented in the form of a lattice theory. Kinetic term of this lattice theory has a standard form and potential…
Backward stochastic differential equations (BSDEs) in the sense of Pardoux-Peng [Backward stochastic differential equations and quasilinear parabolic partial differential equations, Lecture Notes in Control and Inform. Sci., 176, 200--217,…
These lecture notes are intended to cover some introductory topics in stochastic simulation for scientific computing courses offered by the IT department at Uppsala University, as taught by the author. Basic concepts in probability theory…
These are lectures notes for a 4h30 mini-course held in Ulaanbaatar, National University of Mongolia, August 5-7th 2015, at the summer school "Stochastic Processes and Applications". It aims at presenting an introduction to basic results of…
Since the breakthrough in rough paths theory for stochastic ordinary differential equations (SDEs), there has been a strong interest in investigating the rough differential equation (RDE) approach and its numerous applications. Rough path…
Based on a dyadic approximation of It\^o integrals, we show the existence of It\^o c\`adl\`ag rough paths above general semimartingales, suitable Gaussian processes and non-negative typical price paths. Furthermore, Lyons-Victoir extension…
The aim of this textbook is to provide students with basic knowledge of stochastic models that may apply to telecommunications research areas, such as traffic modelling, resource provisioning and traffic management. These study areas are…
These are expanded notes from lectures given at the \'{E}tats de la Recherche workshop on "Derived algebraic geometry and interactions". These notes serve as an introduction to the emerging theory of Poisson structures on derived stacks.
Rough sheets are two-parameter analogs of rough paths. In this work the theory of integration over functions of two parameters is extended to cover the case of irregular functions by developing an appropriate notion of rough sheet. The main…
These are lecture notes expanding upon a set of lectures given by G.M. at the TASI 2023 School. Part I is an introduction to topological field theory, including extended topological field theory. Part II is an introduction to generalized…
Paths are important structural elements in complex networks because they are finite (unlike walks), related to effective node coverage (minimum spanning trees), and can be understood as being dual to star connectivity. This article…
These notes contain part of the lectures of an introductory course on orthogonal polynomials and special functions that I gave in the joint PhD Program in Mathematics UC|UP in the academic years 2015-2016 (at University of Porto) and…
Lecture notes of a master course given at Orsay between 2019-2024. Topics covered include Part I: One-dimensional random walks, cycle lemma and Bienaym\'e--Galton--Watson random trees. Part II: Erd\"os--R\'enyi random graphs, three proofs…
This survey paper, written in spanish, is an extended version of lecture notes for a mini-course taught at the 2022 Summer School in Geometric Group Theory, which took place in the Centro de Ciencias Matem\'aticas in Morelia, Mexico in July…