7 papers
Mean-field games with rough common noise: the linear-quadratic case
Peter K. Friz, Ioannis Gasteratos, Ulrich Horst +1
Motivated by mean-field games (MFG) with common noise on the one hand and pathwise stochastic control theory on the other, we formulate here a linear-quadratic (LQ) MFG with rough…
Rough differential equations for volatility
Ofelia Bonesini, Emilio Ferrucci, Ioannis Gasteratos +1
We introduce a canonical way of performing the joint lift of a Brownian motion and a low-regularity adapted stochastic rough path , extending [Diehl, Oberhauser and…
On the Onsager-Machlup functional of the -measure
Ioannis Gasteratos, Zachary Selk
We investigate the existence of generalised densities for the measures, in finite volume, through the lens of Onsager-Machlup (OM) functionals. The latter are…
Novelty detection on path space
Ioannis Gasteratos, Antoine Jacquier, Maud Lemercier +2
We frame novelty detection on path space as a hypothesis testing problem with signature-based test statistics. Using transportation-cost inequalities of Gasteratos and Jacquier (20…
Kolmogorov equations for stochastic Volterra processes with singular kernels
Ioannis Gasteratos, Alexandre Pannier
We associate backward and forward Kolmogorov equations to a class of fully nonlinear Stochastic Volterra Equations (SVEs) with convolution kernels that are singular at the orig…
Large deviations of slow-fast systems driven by fractional Brownian motion
Siragan Gailus, Ioannis Gasteratos
We consider a multiscale system of stochastic differential equations in which the slow component is perturbed by a small fractional Brownian motion with Hurst index and the…