Hao Ni

activity

20122024

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

11 citations · 16 across the 9 of their papers we have counts for

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Showing 2019Show all

2 papers · 1 filter

math.PR2019★ 11 cited

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…

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

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