E. Ferrucci

activity

20182024

most citedA Neural RDE approach for continuous-time non-Markovian stochastic control problems

1 citations · 2 across the 4 of their papers we have counts for

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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.CA2022

A Transfer Principle for Branched Rough Paths

Emilio Ferrucci

A branched rough path $X$ consists of a rough integral calculus for $X : [0, T] \to R^{d}$ which may fail to satisfy integration by parts. Using Kelly's bracket extensio…