3 citations · 3 across the 10 of their papers we have counts for
10 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…
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…
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 r…
Uniform attraction and exit problems for stochastic damped wave equations
Ioannis Gasteratos, Michael Salins, Konstantinos Spiliopoulos
We consider a class of wave equations with constant damping and polynomial nonlinearities that are perturbed by small, multiplicative, space-time white noise. The equations are def…
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…
Transportation-cost inequalities for non-linear Gaussian functionals
Ioannis Gasteratos, Antoine Jacquier
We study concentration properties for laws of non-linear Gaussian functionals on metric spaces. Our focus lies on measures with non-Gaussian tail behaviour which are beyond the rea…
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…
Importance sampling for stochastic reaction-diffusion equations in the moderate deviation regime
Ioannis Gasteratos, Michael Salins, Konstantinos Spiliopoulos
We develop a provably efficient importance sampling scheme that estimates exit probabilities of solutions to small-noise stochastic reaction-diffusion equations from scaled neighbo…
Moderate deviations for systems of slow-fast stochastic reaction-diffusion equations
Ioannis Gasteratos, Michael Salins, Konstantinos Spiliopoulos
The goal of this paper is to study the Moderate Deviation Principle (MDP) for a system of stochastic reaction-diffusion equations with a time-scale separation in slow and fast comp…