30 citations · 40 across the 6 of their papers we have counts for
6 papers
Volatility model calibration with neural networks a comparison between direct and indirect methods
Dirk Roeder, Georgi Dimitroff
In a recent paper "Deep Learning Volatility" a fast 2-step deep calibration algorithm for rough volatility models was proposed: in the first step the time consuming mapping from th…
Attractors and Expansion for Brownian Flows
Georgi Dimitroff, Michael Scheutzow
We show that a stochastic flow which is generated by a stochastic differential equation on with bounded volatility has a random attractor provided that the drift component i…
Uniform shrinking and expansion under isotropic Brownian flows
Peter Baxendale, Georgi Dimitroff
We study some finite time transport properties of isotropic Brownian flows. Under a certain nondegeneracy condition on the potential spectral measure, we prove that uniform shrinki…
Isotropic Ornstein-Uhlenbeck flows
Georgi Dimitroff, Holger van Bargen
Isotropic Brownian flows (IBFs) are a fairly natural class of stochastic flows which has been studied extensively by various authors. Their rich structure allows for explicit calcu…
Dispersion of volume under the action of isotropic Brownian flows
Georgi Dimitroff, Michael Scheutzow
We study transport properties of isotropic Brownian flows. Under a transience condition for the two-point motion, we show asymptotic normality of the image of a finite measure unde…
Criteria for strong and weak random attractors
Hans Crauel, Georgi Dimitroff, Michael Scheutzow
The theory of random attractors has different notions of attraction, amongst them pullback attraction and weak attraction. We investigate necessary and sufficient conditions for th…