9 papers
On Itô-Stratonovich formula for rough sheets
Youssef Hakiki, Samy Tindel
In this paper, we explore a new strategy towards an Itô-Stratonovich type formula for rough sheets. Historically, planar integration for irregular paths has been notoriously cumbe…
The Volterra signature
Paul P. Hager, Fabian N. Harang, Luca Pelizzari +1
Modern approaches for learning from non-Markovian time series, such as recurrent neural networks, neural controlled differential equations or transformers, typically rely on implic…
Computational aspects of the Volterra Signature
Paul P. Hager, Fabian N. Harang, Luca Pelizzari +1
The Volterra signature extends the classical path signature by incorporating general matrix-valued kernel into its iterated integral structure, yielding a flexible notion of memory…
A class of d-dimensional directed polymers in a Gaussian environment
Le Chen, Cheng Ouyang, Samy Tindel +1
We introduce and analyze a broad class of continuous directed polymers in driven by Gaussian environments that are white in time and spatially correlated, under Dala…
The Pontryagin maximum principle and -functions in rough environments
Estepan Ashkarian, Prakash Chakraborty, Harsha Honnappa +1
We derive the Pontryagin maximum principle and -functions for the relaxed control of noisy rough differential equations. Our main tool is the development of a novel differentiat…
On the Fourier dimension of fractional Brownian graphs
Cheuk Yin Lee, Samy Tindel
In this note we prove that the Fourier dimension of the graph of a fractional Brownian motion with Hurst parameter is equal to 1. This finishes to solve a…