Hao Ni

most cited

ε

-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations

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

collaborators

3 papers

math.PR2019

The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence

Horatio Boedihardjo, Joscha Diehl, Marc Mezzarobba +1

The expected signature is an analogue of the Laplace transform for rough paths. Chevyrev and Lyons showed that, under certain moment conditions, the expected signature determines t…

math.PR2019★ 1 cited

$ε$ -Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations

Yi Chen, Jing Dong, Hao Ni

Consider the fractional Brownian Motion (fBM) $B^{H} = {B^{H} (t) : t \in [0, 1]}$ with Hurst index $H \in (0, 1)$ . We construct a probability space supporting both $B^{H}$ and a fully simul…

math.PR2012

Concentration and exact convergence rates for expected Brownian signatures

Hao Ni, Weijun Xu

The signature of a $d$ -dimensional Brownian motion is a sequence of iterated Stratonovich integrals along the Brownian paths, an object taking values in the tensor algebra over $\R…

The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence

ε-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations

Concentration and exact convergence rates for expected Brownian signatures

$ε$ -Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations