Peter K. Friz
- Stochastic control with rough paths
2013/03/28 by Joscha Diehl, Peter K. Friz, Diehl, Joscha +3 · 3 citations
Economics, Econometrics and Finance · Computer Science · Mathematics · #Stochastic processes and financial applications #Advanced Mathematical Modeling in Engineering #Mathematical Biology Tumor Growth
- A Note on the Notion of Geometric Rough Paths
2004/03/06 by Peter Friz, Peter K. Friz, Friz, Peter +2 · 2 citations
Mathematics · #53C22 #60G17 #65D05 #Advanced Harmonic Analysis Research #FOS: Mathematics #Functional Analysis (math.FA) #Geometric Analysis and Curvature Flows #Mathematical Analysis and Transform Methods #Probability (math.PR) #math.FA #math.PR #msc:53C22 #msc:60G17 #msc:65D05
- Large Deviation Principle for Enhanced Gaussian Processes
2005/12/10 by Peter K. Friz, Friz, Peter, Nicolas Victoir +1 · 2 citations
Economics, Econometrics and Finance · Mathematics · #60F10 #60G15 #60H99 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- Smile Asymptotics II: Models with Known Moment Generating Function
2006/08/24 by Shalom Benaim, Peter K. Friz, Benaim, Shalom +1 · 1 citation
Mathematics · #advanced mathematical theories #Spectral Theory in Mathematical Physics #Mathematical Analysis and Transform Methods
- Differential Equations Driven by Gaussian Signals II
2007/11/05 by Peter K. Friz, Nicolas Victoir, Friz, Peter +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #60G15 #60H99 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- Partial differential equations driven by rough paths
2008/03/14 by Michael Caruana, Caruana, Michael, Peter K. Friz +1 · 1 citation
Computer Science · Economics, Econometrics and Finance · Mathematics · #35R99 #60H15 #Advanced Mathematical Modeling in Engineering #Analysis of PDEs (math.AP) #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- A note on higher dimensional p-variation
2011/02/22 by Peter K. Friz, Friz, Peter, Nicolas Victoir +1 · 1 citation
Mathematics · #Advanced Harmonic Analysis Research #FOS: Mathematics #Geometric Analysis and Curvature Flows #Mathematical Approximation and Integration #Probability (math.PR)
- Rectifiable paths with polynomial log-signature are straight lines
2023/05/30 by Peter K. Friz, Terry Lyons, Friz, Peter K. +3 · 2 citations
Mathematics · #13P15 #15A69 #17B01 #60G10 #60L10 #60L70 #Advanced Combinatorial Mathematics #Classical Analysis and ODEs (math.CA) #Commutative Algebra (math.AC) #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Probability (math.PR) #Rings and Algebras (math.RA) #Statistics Theory (math.ST) #Tensor decomposition and applications
- Almost sure diffusion approximation in averaging via rough paths theory
2021/11/09 by Peter K. Friz, Friz, Peter, Yuri Kifer +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #34C29 #60F15 #60G40 #60L20 #91A05 #Dynamical Systems (math.DS) #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- Simulation of Error Bounds
2022/12/01 by Peter K. Friz, William Salkeld, Friz, Peter K. +3 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management
- Support theorem for a singular semilinear stochastic partial differential equation
2014/09/15 by Khalil Chouk, Chouk, K., Peter K. Friz +1 · 2 citations
Economics, Econometrics and Finance · Mathematics · Computer Science · #Stochastic processes and financial applications #Numerical methods in inverse problems #Advanced Mathematical Modeling in Engineering
- Parabolic comparison revisited and applications
2011/02/28 by Joscha Diehl, Diehl, Joscha, Peter K. Friz +3 · 1 citation
Computer Science · Mathematics · #35R99 #Advanced Mathematical Modeling in Engineering #Analysis of PDEs (math.AP) #FOS: Mathematics #Nonlinear Differential Equations Analysis #Nonlinear Partial Differential Equations #Probability (math.PR)
- Parameter dependent rough SDEs with applications to rough PDEs
2024/09/17 by Fabio Bugini, Bugini, Fabio, Peter K. Friz +3 · 3 citations
Computer Science · #60H10 #60H15 #60L20 #60L50 #FOS: Mathematics #Probability (math.PR) #Rough Sets and Fuzzy Logic
- Controlled rough SDEs, pathwise stochastic control and dynamic programming principles
2024/12/07 by Peter K. Friz, Friz, Peter K., Khanh-Duy Le +3 · 1 citation
Engineering · #60H10 #60L20 #Advanced Control Systems Optimization #FOS: Mathematics #Probability (math.PR) #Process Optimization and Integration #Reservoir Engineering and Simulation Methods