16 citations · 31 across the 11 of their papers we have counts for
4 papers · 2 filters
Large Deviation Principle for Enhanced Gaussian Processes
Peter Friz, Nicolas Victoir
We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric ro…
A Variation Embedding Theorem and Applications
Peter Friz, Nicolas Victoir
Fractional Sobolev spaces, also known as Besov or Slobodetzki spaces, arise in many areas of analysis, stochastic analysis in particular. We prove an embedding into certain q-varia…
Second order backward stochastic differential equations and fully non-linear parabolic PDEs
Patrick Cheridito, H. Mete Soner, Nizar Touzi +1
We introduce a class of second order backward stochastic differential equations and show relations to fully non-linear parabolic PDEs. In particular, we provide a stochastic repres…
Good Rough Path Sequences and Applications to Anticipating & Fractional Stochastic Calculus
Laure Coutin, Peter Friz, Nicolas Victoir
We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process (not necessarily a semi-martingale). No adaptedness of initial point or ve…