1 citations · 1 across the 7 of their papers we have counts for
7 papers
Concise -representations of a path
Emilio Ferrucci, Oliver Perrée, Terry Lyons
Paths are traditionally stored in finite memory as time series. Recent research has underscored the benefits of instead representing them as collec…
Locality of rough path lifts
Ilya Chevyrev, Emilio Ferrucci
Every Hölder continuous path admits a geometric rough path lift by the Lyons--Victoir extension theorem. A natural question that emerges when lifting more than…
Orthogonal polynomials on path-space
Ilya Chevyrev, Emilio Ferrucci, Darrick Lee +3
We consider the orthogonalisation of the signature of a stochastic process as the analogue of orthogonal polynomials on path-space. Under an infinite radius of convergence assumpti…
Wick integrals
Carlo Bellingeri, Emilio Ferrucci
We introduce the Wick integral for a class of stochastic processes of bounded -variation which are not necessarily Gaussian. Th…
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…
High-degree cubature on Wiener space through unshuffle expansions
Emilio Ferrucci, Timothy Herschell, Christian Litterer +1
Utilising classical results on the structure of Hopf algebras, we develop a novel approach for the construction of cubature formulae on Wiener space based on unshuffle expansions.…
Branched Itô formula and natural Itô-Stratonovich isomorphism
Carlo Bellingeri, Emilio Ferrucci, Nikolas Tapia
Branched rough paths, defined as paths with values in the character group of the Connes-Kreimer Hopf algebra , constitute integration theories that may fai…