A partial rough path space for rough volatility
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Publication:6126968
DOI10.1214/24-ejp1080arXiv2205.09958OpenAlexW4391777327MaRDI QIDQ6126968
Ryoji Takano, Masaaki Fukasawa
Publication date: 10 April 2024
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2205.09958
Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Large deviations (60F10) Rough paths (60L20) Applications of rough analysis (60L90)
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