3 papers
math.PR2018
A Littlewood-Paley description of modelled distributions
Jörg Martin, Nicolas Perkowski
We exhibit a fundamental link between Hairer's theory of regularity structures and the paracontrolled calculus of Gubinelli, Imkeller and Perkowski. By using paraproducts we provid…
q-fin.PR2017
A regularity structure for rough volatility
Christian Bayer, Peter K. Friz, Paul Gassiat +2
A new paradigm recently emerged in financial modelling: rough (stochastic) volatility, first observed by Gatheral et al. in high-frequency data, subsequently derived within market…
math.PR2017
Solution to the stochastic Schrödinger equation on the full space
Arnaud Debussche, Jörg Martin
We here show how the methods recently applied by [DW16] to solve the stochastic nonlinear Schrödinger equation on can be enhanced to yield solutions on $\mathbb{R}^2…