Related papers: Rough Functional It\^o Formula
In this paper, strongly $(\alpha,T)$-convex functions, i.e., functions $f:D\to \R$ satisfying the functional inequality $$ f(tx+(1-t)y)\leq tf(x)+(1-t)f(y)-t\alpha\big((1-t)(x-y)\big)-(1-t)\alpha\big(t(y-x)\big)$$ for $x,y\in D$ and $t\in…
The main objective consists in generalizing a well-known It{\^o} formula of J. Jacod and A. Shiryaev: given a c{\`a}dl{\`a}g process S, there is an equivalence between the fact that S is a semimartingale with given characteristics (B^k , C,…
We extend the functional Breuer-Major theorem by Nourdin and Nualart (2020) to the space of rough paths. The proof of tightness combines the multiplication formula for iterated Malliavin divergences, due to Furlan and Gubinelli (2019), with…
The aim of the paper is to show the probabilistically strong well-posedness of rough differential equations with distributional drifts driven by the Gaussian rough path lift of fractional Brownian motion with Hurst parameter…
Following a hedging based approach to model free financial mathematics, we prove that it should be possible to make an arbitrarily large profit by investing in those one-dimensional paths which do not possess local times. The local time is…
It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and…
This paper is devoted to the study of numerical approximation schemes for a class of parabolic equations on (0, 1) perturbed by a non-linear rough signal. It is the continuation of [8, 7], where the existence and uniqueness of a solution…
This note deals with the boundedness of the $H^\infty$ functional calculus of Ritt operators $T$ and associated square function estimates. The purpose is to give a shorter, concise and slightly more general approach towards Le~Merdy's…
We investigate rough differential equations with a time-dependent reflecting lower barrier, where both the driving (rough) path and the barrier itself may have jumps. Assuming the driving signals allow for Young integration, we provide…
We provide explicit series expansions to certain stochastic path-dependent integral equations in terms of the path signature of the time augmented driving Brownian motion. Our framework encompasses a large class of stochastic linear…
The calculation of the decay rate of a metastable state in the path-integral formulation of stochastic processes is revisited. Previous derivations of this rate were achieved at the cost of a step that is difficult to justify…
We define a characteristic function for probability measures on the signatures of geometric rough paths. We determine sufficient conditions under which a random variable is uniquely determined by its expected signature, thus partially…
In the present paper, a discrete version of It\^o's formula for a class of multi-dimensional random walk is introduced and applied to the study of a discrete-time complete market model which we call He's framework. The formula unifies…
A typical quandary in geometric functions theory is to study a functional composed of amalgamations of the coefficients of the pristine function. Conventionally, there is a parameter over which the extremal value of the functional is…
Given a degree 1 function $F\in\mathcal{S}^{\sharp}$ and a real number $\alpha$, we consider the linear twist $F(s,\alpha)$, proving that it satisfies a functional equation reflecting $s$ into $1-s$, which can be seen as a Hurwitz-Lerch…
Given a solution $Y$ to a rough differential equation (RDE), a recent result [8] extends the classical It\"{o}-Stratonovich formula and provides a closed-form expression for $\int Y \circ \mathrm{d} \mathbf{X} - \int Y \, \mathrm{d} X$,…
We present an empirical study examining several claims related to option prices in rough volatility literature using SPX options data. Our results show that rough volatility models with the parameter $H \in (0,1/2)$ are inconsistent with…
We prove a contractive Hardy-Littlewood type inequality for functions from $H^p(\mathbb{T})$, $0 < p \le 2$ which is sharp in the first two Taylor coefficients and asymptotically at infinity.
We provide an efficient and accurate simulation scheme for the rough Heston model in the standard ($H>0$) as well as the hyper-rough regime ($H > -1/2$). The scheme is based on low-dimensional Markovian approximations of the rough Heston…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…