Cover Image

Unified Signature Cumulants and Generalized Magnus Expansions

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Friz, Peter K., Hager, Paul, Tapia, Nikolas
Format:	Preprint
Published:	2021
Subjects:	Probability 60L10, 60L90, 60E10, 60G44, 60G48, 60G51, 60J76
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

On expected signatures and signature cumulants in semimartingale models
by: Friz, Peter K., et al.
Published: (2024)

Expected Signature Kernels for Lévy Rough Paths
by: Friz, Peter K., et al.
Published: (2025)

Large Deviations for Stochastic Differential Equations Driven by Semimartingales
by: Huang, Qiao, et al.
Published: (2019)

Large deviation principle for stochastic differential equations driven by stochastic integrals
by: Takano, Ryoji
Published: (2024)

Some FKG inequalities for stochastic processes
by: Legrand, Alexandre
Published: (2024)

Multiparameter Poisson Processes and Martingales
by: Vishwakarma, P., et al.
Published: (2025)

On Multiparameter Generalized Counting Process and its Time-Changed Variants
by: Dhillon, Manisha, et al.
Published: (2025)

Duals and inverse flows of generalized Ornstein-Uhlenbeck processes
by: Behme, Anita, et al.
Published: (2025)

The $C^{0,1}$ Itô-Ventzell formula for weak Dirichlet processes
by: Fießinger, Felix, et al.
Published: (2023)

Maxima of stationary systems of randomly time-changed Lévy particles
by: Scheffel, Ioan
Published: (2026)

Win rates at first-passage times for biased simple random walks
by: Bruss, F. Thomas, et al.
Published: (2025)

Fixing a Minor Mistake in the Theory of Stochastic Integration and Differential Equations
by: Rickelhoff, Sebastian, et al.
Published: (2024)

Hedging in Jump Diffusion Model with Transaction Costs
by: Almani, Hamidreza Maleki, et al.
Published: (2024)

Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
by: Alòs, Elisa, et al.
Published: (2025)

Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches
by: Behme, Anita
Published: (2024)

Stretched non-local Pearson diffusions
by: Beghin, Luisa, et al.
Published: (2025)

Skew-Normal Diffusions
by: Hongler, Max-Olivier, et al.
Published: (2023)

A fixed-point equation approach for the superdiffusive elephant random walk
by: Guérin, Hélène, et al.
Published: (2023)

Path-dependent processes from signatures
by: Jaber, Eduardo Abi, et al.
Published: (2024)

The leftmost particle of branching subordinators
by: Kagan, Alexis, et al.
Published: (2024)

The bilateral generalized inverse Gaussian process with applications to financial modeling
by: Agazzotti, Gaetano, et al.
Published: (2024)

Randomised Euler-Maruyama Method for SDEs with Hölder Continuous Drift Coefficient Driven by $α$-stable Lévy Process
by: Bao, Jianhai, et al.
Published: (2025)

Rough stochastic filtering
by: Bugini, Fabio, et al.
Published: (2025)

Bivariate Tempered Space-Fractional Poisson Process and Shock Models
by: Soni, Ritik, et al.
Published: (2023)

The maximum-entropy median-martingale
by: Shah, Rikhav, et al.
Published: (2026)

Stationary, Markov, stochastic processes with polynomial conditional moments and continuous paths
by: Szabłowski, Paweł J.
Published: (2022)

Weak Convergence of Stochastic Integrals on Skorokhod Space in Skorokhod's J1 and M1 Topologies
by: Sojmark, Andreas, et al.
Published: (2023)

Explosion rates for continuous-state branching processes in a Lévy environment
by: Cardona-Tobón, Natalia, et al.
Published: (2023)

Moderate deviations for rough differential equations
by: Inahama, Yuzuru, et al.
Published: (2023)

Separating Times for One-Dimensional General Diffusions
by: Criens, David, et al.
Published: (2022)

Convergence of population processes with small and frequent mutations to the canonical equation of adaptive dynamics
by: Champagnat, Nicolas, et al.
Published: (2023)

Regularisation of cylindrical Lévy processes in Besov spaces
by: Griffiths, Matthew, et al.
Published: (2024)

Noncentral limit results for spatiotemporal random fields on manifolds and beyond
by: Ruiz-Medina, M. D.
Published: (2026)

Ergodic robust maximization of asymptotic growth with stochastic factor processes
by: Itkin, David, et al.
Published: (2022)

Feller Property and Absorption of Diffusions for Multi-Species Metacommunities
by: Henry, Benoît, et al.
Published: (2026)

Markov Processes and Stochastic Extrinsic Derivative Flows on the Space of Absolutely Continuous Measures
by: Ren, Panpan, et al.
Published: (2024)

Convergence rate of the occupation measure of classes of ergodic processes toward their invariant distribution in mean Wasserstein distance
by: Pagès, Gilles, et al.
Published: (2026)

Differential equations driven by Besov-Orlicz paths
by: Čoupek, Petr, et al.
Published: (2024)

A regularized Kellerer theorem in arbitrary dimension
by: Pammer, Gudmund, et al.
Published: (2022)

Higher-order ATM asymptotics for the CGMY model via the characteristic function
by: Hoffmeyer, Allen, et al.
Published: (2026)