55 citations · 684 across the 94 of their papers we have counts for
6 papers · 1 filter
Expected Signature Kernels for Lévy Rough Paths
Peter K. Friz, Paul P. Hager
The expected signature kernel arises in statistical learning tasks as a similarity measure of probability measures on path space. Computing this kernel for known classes of stochas…
Rough stochastic filtering
Fabio Bugini, Peter K. Friz, Khoa Lê +1
This article is concerned with the well-posedness of the "filtering equations", due to Zakai and Kushner-Stratonovich, arising in nonlinear stochastic filtering. In general situati…
Nonlinear rough Fokker-Planck equations
Fabio Bugini, Peter K. Friz, Wilhelm Stannat
McKean-Vlasov SDEs describe systems where the dynamics depend on the law of the process. The corresponding Fokker-Planck equation is a nonlinear, nonlocal PDE for the corresponding…
On the Weak Error for Local Stochastic Volatility Models
Peter K. Friz, Benjamin Jourdain, Thomas Wagenhofer +1
Local stochastic volatility refers to a popular model class in applied mathematical finance that allows for "calibration-on-the-fly", typically via a particle method, derived from…
Telegrapher's Generative Model via Kac Flows
Richard Duong, Jannis Chemseddine, Peter K. Friz +1
We break the mold in flow-based generative modeling by proposing a new model based on the damped wave equation, also known as telegrapher's equation. Similar to the diffusion equat…
Randomisation of rough stochastic differential equations
Peter K. Friz, Khoa Le, Huilin Zhang
Rough stochastic differential equations (RSDEs) are common generalisations of Ito SDEs and Lyons RDEs and have emerged as new tool in several areas of applied probability, includin…