1 citations · 2 across the 4 of their papers we have counts for
5 papers
Signature Kernel Conditional Independence Tests in Causal Discovery for Stochastic Processes
Georg Manten, Cecilia Casolo, Emilio Ferrucci +3
Inferring the causal structure underlying stochastic dynamical systems from observational data holds great promise in domains ranging from science and health to finance. Such proce…
A Neural RDE approach for continuous-time non-Markovian stochastic control problems
Melker Hoglund, Emilio Ferrucci, Camilo Hernandez +4
We propose a novel framework for solving continuous-time non-Markovian stochastic control problems by means of neural rough differential equations (Neural RDEs) introduced in Morri…
On the Wiener Chaos Expansion of the Signature of a Gaussian Process
Emilio Ferrucci, Thomas Cass
We compute the Wiener chaos decomposition of the signature for a class of Gaussian processes, which contains fractional Brownian motion (fBm) with Hurst parameter H in (1/4, 1). At…
A Transfer Principle for Branched Rough Paths
Emilio Ferrucci
A branched rough path consists of a rough integral calculus for which may fail to satisfy integration by parts. Using Kelly's bracket extensio…
Projections of SDEs onto Submanifolds
John Armstrong, Damiano Brigo, Emilio Ferrucci
In [ABF19] the authors define three projections of Rd-valued stochastic differential equations (SDEs) onto submanifolds: the Stratonovich, Ito-vector and Ito-jet projections. In th…