55 citations · 97 across the 13 of their papers we have counts for
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math.PR2013★ 55 cited
The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
Peter K. Friz, Benjamin Gess, Archil Gulisashvili +1
We discuss stochastic calculus for large classes of Gaussian processes, based on rough path analysis. Our key condition is a covariance measure structure combined with a classical…
math.PR2013★ 25 cited
From rough path estimates to multilevel Monte Carlo
Christian Bayer, Peter K. Friz, Sebastian Riedel +1
New classes of stochastic differential equations can now be studied using rough path theory (e.g. Lyons et al. [LCL07] or Friz--Hairer [FH14]). In this paper we investigate, from a…