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math.PR2026
Signature Kernel and Schwinger-Dyson Kernel Equations as Two-Parameter Rough Differential Equations
Thomas Cass, Dan Crisan, Andrea Iannucci +1
We develop a rough-path framework for two-parameter rough differential equations on rectangular and simplicial domains, motivated by the signature kernel and Schwinger--Dyson kerne…
math.PR2025
Nonlinear Stochastic Filtering with Volterra Gaussian noises
Thomas Cass, Dan Crisan, Andrea Iannucci
We develop a nonlinear filtering theory for signal-observation systems driven by Volterra Gaussian processes, covering both the Young and genuinely rough regimes. The dynamics are…