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1
Discretely sampled signals and the rough Hoff process
Published 2016“…Such random ODEs have a natural interpretation in the context of mathematical finance.…”
Journal article -
2
Discrete approximations in stochastic rough path theory
Published 2016“…Such random ODEs have a natural interpretation in the context of mathematical finance.</p> <p>The second part of the thesis introduces a new pathwise approximation scheme for SDEs driven by multidimensional Brownian motion. …”
Thesis