Paul Hager

most citedThe Multiplicative Chaos of

H = 0

Fractional Brownian Fields

2 citations · 2 across the 1 of their papers we have counts for

collaborators

Showing math.PRShow all

2 papers · 1 filter

math.PR2021

Optimal stopping with signatures

Christian Bayer, Paul Hager, Sebastian Riedel +1

We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$ . We co…

math.PR2020★ 2 cited

The Multiplicative Chaos of $H = 0$ Fractional Brownian Fields

Paul Hager, Eyal Neuman

We consider a family of fractional Brownian fields ${B^{H}}_{H \in (0, 1)}$ on $R^{d}$ , where $H$ denotes their Hurst parameter. We first define a rich class of normalizin…

Optimal stopping with signatures

The Multiplicative Chaos of H=0 Fractional Brownian Fields

The Multiplicative Chaos of $H = 0$ Fractional Brownian Fields