3.1k citations · 6.9k across the 91 of their papers we have counts for
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Optimal stopping with signatures
Christian Bayer, Paul Hager, Sebastian Riedel +1
We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process . We co…
Rough differential equations with unbounded drift term
Sebastian Riedel, Michael Scheutzow
We study controlled differential equations driven by a rough path (in the sense of T. Lyons) with an additional, possibly unbounded drift term. We show that the equation induces a…
Transportation-cost inequalities for diffusions driven by Gaussian processes
Sebastian Riedel
We prove transportation-cost inequalities for the law of SDE solutions driven by general Gaussian processes. Examples include the fractional Brownian motion, but also more general…
On the Variational Regularity of Cameron-Martin paths
Peter K. Friz, Benjamin Gess, Sebastian Riedel
It is a well-known fact that finite rho-variation of the covariance (in 2D sense) of a general Gaussian process implies finite rho-variation of Cameron-Martin paths. In the special…
A Levy-area between Brownian motion and rough paths with applications to robust non-linear filtering and RPDEs
Joscha Diehl, Harald Oberhauser, Sebastian Riedel
We give meaning to differential equations with a rough path term and a Brownian noise term as driving signals. Such differential equations as well as the question of regularity of…