1 citations · 1 across the 7 of their papers we have counts for
5 papers · 1 filter
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…
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…