From the 1 of 22 linked papers with an AI index.
22 papers
State spaces of multifactor approximations of nonnegative Volterra processes
Eduardo Abi Jaber, Christian Bayer, Simon Breneis
The paper identifies the exact shape of the state space for multifactor Markovian approximations of non‑negative Volterra processes, showing it is a linear transformation of the no…
Affine Structure of the Brownian Signature
Eduardo Abi Jaber, Elie Attal, Dimitri Sotnikov
We establish an infinite-dimensional affine transform theory for the time-augmented Brownian signature. Our first main result shows that, for a suitable class of linear functions o…
Stochastic control with signatures via Riccati equations on the tensor algebra
Eduardo Abi Jaber, Elie Attal, Dimitri Sotnikov
We solve in semi-explicit form a class of non-Markovian stochastic optimal control problems with path-dependent rewards, using path signatures. We reformulate the control problem a…
Volterra clocks and their pure-jump limits: hitting times of curved boundaries
Eduardo Abi Jaber, Elie Attal, Andreas Sojmark
We introduce a class of continuous Volterra processes, called Volterra clocks, and study their singular limit as the memory kernel collapses to a Dirac mass at zero. The dynamics a…
Exponentially Fading Memory Signature
Eduardo Abi Jaber, Dimitri Sotnikov
We introduce the exponentially fading memory (EFM) signature, a time-invariant transformation of an infinite (possibly rough) path that serves as a mean-reverting analogue of the c…
Weak solutions of Stochastic Volterra Equations in convex domains with general kernels
Eduardo Abi Jaber, Aurélien Alfonsi, Guillaume Szulda
We establish new weak existence results for -dimensional Stochastic Volterra Equations (SVEs) with continuous coefficients and possibly singular one-dimensional non-convolution…