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math.PR2023
Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach
Blanka Horvath, Maud Lemercier, Chong Liu +2
Distribution Regression on path-space refers to the task of learning functions mapping the law of a stochastic process to a scalar target. The learning procedure based on the notio…
math.PR2016
On the probability of hitting the boundary for Brownian motions on the SABR plane
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models--related to the SABR model in mathematical finance--which c…