1 citations · 2 across the 4 of their papers we have counts for
Showing math.PRShow all
2 papers · 1 filter
math.PR2022
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…
math.PR2018★ 1 cited
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…