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20092026
most citedA stochastic Hamilton-Jacobi equation with infinite speed of propagation

2 citations · 6 across the 12 of their papers we have counts for

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Showing 2020Show all

2 papers · 1 filter

q-fin.CP2020

Short dated smile under Rough Volatility: asymptotics and numerics

Peter K. Friz, Paul Gassiat, Paolo Pigato

In [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2021] we introduce a new methodology to analyze large classes of (classical and rough) stochasti…

math.PR2020

Non-uniqueness for reflected rough differential equations

Paul Gassiat

We give an example of a reflected diffferential equation which may have infinitely many solutions if the driving signal is rough enough (e.g. of infinite -variation, for some $p…