8 results
Search Results
Now showing 1 - 8 of 8
- ItemThe enhanced Sanov theorem and propagation of chaos(Amsterdam [u.a.] : Elsevier, 2017) Deuschel, Jean-Dominique; Friz, Peter K.; Maurelli, Mario; Slowik, MartinWe establish a Sanov type large deviation principle for an ensemble of interacting Brownian rough paths. As application a large deviations for the (-layer, enhanced) empirical measure of weakly interacting diffusions is obtained. This in turn implies a propagation of chaos result in a space of rough paths and allows for a robust analysis of the particle system and its McKean–Vlasov type limit, as shown in two corollaries.
- ItemA regularity structure for rough volatility(Oxford [u.a.] : Wiley-Blackwell, 2019) Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, BenjaminA new paradigm has emerged recently in financial modeling: rough (stochastic) volatility. First observed by Gatheral et al. in high-frequency data, subsequently derived within market microstructure models, rough volatility captures parsimoniously key-stylized facts of the entire implied volatility surface, including extreme skews (as observed earlier by Alòs et al.) that were thought to be outside the scope of stochastic volatility models. On the mathematical side, Markovianity and, partially, semimartingality are lost. In this paper, we show that Hairer's regularity structures, a major extension of rough path theory, which caused a revolution in the field of stochastic partial differential equations, also provide a new and powerful tool to analyze rough volatility models.
- ItemRegularity of SLE in (t,κ) and refined GRR estimates(Berlin ; Heidelberg ; New York, NY : Springer, 2021) Friz, Peter K.; Tran, Huy; Yuan, YizhengSchramm-Loewner evolution ( SLEκ ) is classically studied via Loewner evolution with half-plane capacity parametrization, driven by κ times Brownian motion. This yields a (half-plane) valued random field γ=γ(t,κ;ω) . (Hölder) regularity of in γ(·,κ;ω ), a.k.a. SLE trace, has been considered by many authors, starting with Rohde and Schramm (Ann Math (2) 161(2):883-924, 2005). Subsequently, Johansson Viklund et al. (Probab Theory Relat Fields 159(3-4):413-433, 2014) showed a.s. Hölder continuity of this random field for κ<8(2-3) . In this paper, we improve their result to joint Hölder continuity up to κ<8/3 . Moreover, we show that the SLE κ trace γ(·,κ) (as a continuous path) is stochastically continuous in κ at all κ≠8 . Our proofs rely on a novel variation of the Garsia-Rodemich-Rumsey inequality, which is of independent interest.
- ItemEikonal equations and pathwise solutions to fully non-linear SPDEs(New York, NY : Springer, 2016) Friz, Peter K.; Gassiat, Paul; Lions, Pierre-Louis; Souganidis, Panagiotis E.We study the existence and uniqueness of the stochastic viscosity solutions of fully nonlinear, possibly degenerate, second order stochastic pde with quadratic Hamiltonians associated to a Riemannian geometry. The results are new and extend the class of equations studied so far by the last two authors.
- ItemOn the regularity of SLE trace(Cambridge : Cambridge Univ. Press, 2017) Friz, Peter K.; Tran, HuyWe revisit regularity of SLE trace, for all κ≠8, and establish Besov regularity under the usual half-space capacity parametrization. With an embedding theorem of Garsia–Rodemich–Rumsey type, we obtain finite moments (and hence almost surely) optimal variation regularity with index min(1+κ/8,2), improving on previous works of Werness, and also (optimal) Hölder regularity à la Johansson Viklund and Lawler.
- ItemSuperdiffusive limits for deterministic fast-slow dynamical systems(Berlin ; Heidelberg ; New York, NY : Springer, 2020) Chevyrev, Ilya; Friz, Peter K.; Korepanov, Alexey; Melbourne, Ian[ For Abstract, see PDF]
- ItemSingular paths spaces and applications(Philadelphia, Pa. : Taylor & Francis, 2021) Bellingeri, Carlo; Friz, Peter K.; Gerencsér, MátéMotivated by recent applications in rough volatility and regularity structures, notably the notion of singular modeled distribution, we study paths, rough paths and related objects with a quantified singularity at zero. In a pure path setting, this allows us to leverage on existing SLE Besov estimates to see that SLE traces takes values in a singular Hölder space, which quantifies a well-known boundary effect in the regime κ<1. We then consider the integration theory against singular rough paths and some extensions thereof. This gives a method to reconcile, from a regularity structure point of view, different singular kernels used to construct (fractional) rough volatility models and an effective reduction to the stationary case which is crucial to apply general renormalization methods.
- ItemPrecise Laplace asymptotics for singular stochastic PDEs: The case of 2D gPAM(Amsterdam [u.a.] : Elsevier, 2022) Friz, Peter K.; Klose, TomWe implement a Laplace method for the renormalised solution to the generalised 2D Parabolic Anderson Model (gPAM) driven by a small spatial white noise. Our work rests upon Hairer's theory of regularity structures which allows to generalise classical ideas of Azencott and Ben Arous on path space as well as Aida and Inahama and Kawabi on rough path space to the space of models. The technical cornerstone of our argument is a Taylor expansion of the solution in the noise intensity parameter: We prove precise bounds for its terms and the remainder and use them to estimate asymptotically irrevelant terms to arbitrary order. While most of our arguments are not specific to gPAM, we also outline how to adapt those that are.