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Functional Itô calculus

Citations

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Cited by:

  1. Zhou Fang, 2023. "Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction," Papers 2303.02298, arXiv.org.
  2. Georgii Riabov & Aleh Tsyvinski, 2021. "Policy with stochastic hysteresis," Papers 2104.10225, arXiv.org.
  3. Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Promel, 2021. "Model-free Portfolio Theory: A Rough Path Approach," Papers 2109.01843, arXiv.org, revised Oct 2022.
  4. Bingyan Han & Hoi Ying Wong, 2019. "Time-inconsistency with rough volatility," Papers 1907.11378, arXiv.org, revised Dec 2021.
  5. Christian Bayer & Paul Hager & Sebastian Riedel & John Schoenmakers, 2021. "Optimal stopping with signatures," Papers 2105.00778, arXiv.org.
  6. Christa Cuchiero & Janka Moller, 2023. "Signature Methods in Stochastic Portfolio Theory," Papers 2310.02322, arXiv.org, revised Oct 2024.
  7. Andrew L. Allan & Chong Liu & David J. Promel, 2021. "A C\`adl\`ag Rough Path Foundation for Robust Finance," Papers 2109.04225, arXiv.org, revised May 2023.
  8. Ioannis Gasteratos & Alexandre Pannier, 2025. "Kolmogorov equations for stochastic Volterra processes with singular kernels," Papers 2509.21608, arXiv.org.
  9. John Armstrong & Andrei Ionescu, 2025. "Gamma hedging and rough paths," Finance and Stochastics, Springer, vol. 29(4), pages 933-979, October.
  10. Talbi, Mehdi, 2024. "A finite-dimensional approximation for partial differential equations on Wasserstein space," Stochastic Processes and their Applications, Elsevier, vol. 177(C).
  11. Blanka Horvath & Josef Teichmann & Zan Zuric, 2021. "Deep Hedging under Rough Volatility," Papers 2102.01962, arXiv.org.
  12. Bruno Bouchard & Xiaolu Tan, 2021. "A quasi-sure optional decomposition and super-hedging result on the Skorokhod space," Finance and Stochastics, Springer, vol. 25(3), pages 505-528, July.
  13. Tomoyuki Ichiba & Qijin Shi, 2025. "Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models," Papers 2509.14529, arXiv.org, revised May 2026.
  14. Nam, Kihun, 2021. "Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 376-411.
  15. Christa Cuchiero & Francesca Primavera & Sara Svaluto-Ferro, 2025. "Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models," Finance and Stochastics, Springer, vol. 29(2), pages 289-342, April.
  16. Christian Bayer & Luca Pelizzari & John Schoenmakers, 2023. "Primal and dual optimal stopping with signatures," Papers 2312.03444, arXiv.org, revised Feb 2025.
  17. Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Prömel, 2023. "Model‐free portfolio theory: A rough path approach," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 709-765, July.
  18. Christian Bayer & Luca Pelizzari & John Schoenmakers, 2025. "Primal and dual optimal stopping with signatures," Finance and Stochastics, Springer, vol. 29(4), pages 981-1014, October.
  19. Ofelia Bonesini & Antoine Jacquier & Alexandre Pannier, 2023. "Rough volatility, path-dependent PDEs and weak rates of convergence," Papers 2304.03042, arXiv.org, revised May 2026.
  20. Li, Xiaoyue & Mao, Xuerong & Song, Guoting, 2024. "An explicit approximation for super-linear stochastic functional differential equations," Stochastic Processes and their Applications, Elsevier, vol. 169(C).
  21. Alexandre Pannier, 2023. "Path-dependent PDEs for volatility derivatives," Papers 2311.08289, arXiv.org, revised Jul 2025.
  22. Kiseop Lee & Seongje Lim & Hyungbin Park, 2022. "Option pricing under path-dependent stock models," Papers 2211.10953, arXiv.org, revised Aug 2023.
  23. Paul Nekoranik, 2025. "Polar Coordinates for the 3/2 Stochastic Volatility Model," Mathematical Finance, Wiley Blackwell, vol. 35(3), pages 708-723, July.
  24. Brian Huge & Antoine Savine, 2020. "Differential Machine Learning," Papers 2005.02347, arXiv.org, revised Sep 2020.
  25. Cont, Rama & Kalinin, Alexander, 2020. "On the support of solutions to stochastic differential equations with path-dependent coefficients," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 2639-2674.
  26. Qi Feng & Man Luo & Zhaoyu Zhang, 2021. "Deep Signature FBSDE Algorithm," Papers 2108.10504, arXiv.org, revised Aug 2022.
  27. Valentin Tissot-Daguette & Xin Zhang, 2026. "Cylindrical Projections of Occupied Diffusions," Papers 2604.25001, arXiv.org.
  28. Eduardo Abi Jaber & Cl'ement Rey & Dimitri Sotnikov, 2026. "Malliavin calculus for signatures with applications to finance," Papers 2604.22528, arXiv.org.
  29. Shreya Bose & Ibrahim Ekren, 2021. "Multidimensional Kyle-Back model with a risk averse informed trader," Papers 2111.01957, arXiv.org.
  30. Henry Chiu & Rama Cont, 2023. "A model‐free approach to continuous‐time finance," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 257-273, April.
  31. Anton Plaksin, 2020. "Minimax and Viscosity Solutions of Hamilton–Jacobi–Bellman Equations for Time-Delay Systems," Journal of Optimization Theory and Applications, Springer, vol. 187(1), pages 22-42, October.
  32. Andrew L. Allan & Chong Liu & David J. Prömel, 2024. "A càdlàg rough path foundation for robust finance," Finance and Stochastics, Springer, vol. 28(1), pages 215-257, January.
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