2 citations · 2 across the 4 of their papers we have counts for
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Statistical Inference for Fractional Diffusions
Pablo Ramses Alonso-Martin, Horatio Boedihardjo, Anastasia Papavasiliou
This is a review of statistical inference methodology for stochastic differential equations driven by fractional Brownian motion, otherwise called fractional diffusions. The first…
Cartan's Path Development, the Logarithmic Signature and a Conjecture of Lyons-Sidorova
Horatio Boedihardjo, Xi Geng, Sheng Wang
The signature transform, which is defined in terms of iterated path integrals of all orders, provides a faithful representation of the group of tree-reduced geometric rough paths.…
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…