×
Compute Distance To:
Author ID: friz.peter-k Recent zbMATH articles by "Friz, Peter Karl"
Published as: Friz, Peter K.; Friz, Peter; Friz, P. K.; Friz, P.; Friz, Peter Karl
Homepage: http://page.math.tu-berlin.de/~friz/
External Links: MGP · Wikidata · GND · IdRef · theses.fr
all top 5

Serials

7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
7 Quantitative Finance
6 The Annals of Probability
6 Probability Theory and Related Fields
5 Journal of Differential Equations
5 Journal of Functional Analysis
4 The Annals of Applied Probability
4 Oberwolfach Reports
3 Transactions of the American Mathematical Society
3 Mathematical Finance
3 Forum of Mathematics, Sigma
2 Communications on Pure and Applied Mathematics
2 Journal of Mathematical Analysis and Applications
2 Applied Mathematics and Optimization
2 Proceedings of the American Mathematical Society
2 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
2 Physica D
2 Bulletin des Sciences Mathématiques
2 SIAM Journal on Financial Mathematics
2 Springer Proceedings in Mathematics & Statistics
2 Universitext
1 Journal of Applied Probability
1 SIAM Journal on Numerical Analysis
1 Stochastic Analysis and Applications
1 SIAM Journal on Mathematical Analysis
1 Stochastic Processes and their Applications
1 Continuum Mechanics and Thermodynamics
1 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI
1 Electronic Journal of Probability
1 Discrete and Continuous Dynamical Systems
1 Vietnam Journal of Mathematics
1 Annals of Mathematics. Second Series
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 Bulletin of the Institute of Mathematics. Academia Sinica. New Series
1 Cambridge Studies in Advanced Mathematics
1 Stochastic and Partial Differential Equations. Analysis and Computations
1 SN Partial Differential Equations and Applications

Publications by Year

Citations contained in zbMATH Open

87 Publications have been cited 1,642 times in 749 Documents Cited by Year
Multidimensional stochastic processes as rough paths. Theory and applications. Zbl 1193.60053
Friz, Peter K.; Victoir, Nicolas B.
297
2010
A course on rough paths. With an introduction to regularity structures. Zbl 1327.60013
Friz, Peter K.; Hairer, Martin
207
2014
Differential equations driven by Gaussian signals. Zbl 1202.60058
Friz, Peter; Victoir, Nicolas
56
2010
Densities for rough differential equations under Hörmander’s condition. Zbl 1205.60105
Cass, Thomas; Friz, Peter
48
2010
A (rough) pathwise approach to a class of non-linear stochastic partial differential equations. Zbl 1219.60061
Caruana, Michael; Friz, Peter K.; Oberhauser, Harald
43
2011
Regular variation and smile asymptotics. Zbl 1155.91377
Benaim, S.; Friz, P.
38
2009
Non-degeneracy of Wiener functionals arising from rough differential equations. Zbl 1175.60034
Cass, Thomas; Friz, Peter; Victoir, Nicolas
33
2009
Approximations of the Brownian rough path with applications to stochastic analysis. Zbl 1080.60021
Friz, Peter; Victoir, Nicolas
33
2005
Partial differential equations driven by rough paths. Zbl 1167.35386
Caruana, Michael; Friz, Peter
30
2009
A note on the notion of geometric rough paths. Zbl 1108.34052
Friz, Peter; Victoir, Nicolas
28
2006
A variation embedding theorem and applications. Zbl 1114.46022
Friz, Peter; Victoir, Nicolas
25
2006
The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory. Zbl 1347.60097
Friz, Peter K.; Gess, Benjamin; Gulisashvili, Archil; Riedel, Sebastian
25
2016
Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations. Zbl 1300.60093
Deuschel, J. D.; Friz, P. K.; Jacquier, A.; Violante, S.
24
2014
Rough path limits of the Wong-Zakai type with a modified drift term. Zbl 1169.60011
Friz, Peter; Oberhauser, Harald
23
2009
On refined volatility smile expansion in the Heston model. Zbl 1267.91068
Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan
22
2011
Rough path stability of (semi-)linear SPDEs. Zbl 1292.60064
Friz, Peter; Oberhauser, Harald
22
2014
Smile asymptotics. II: Models with known moment generating functions. Zbl 1151.62079
Benaim, Shalom; Friz, Peter
22
2008
Pricing under rough volatility. Zbl 1465.91108
Bayer, Christian; Friz, Peter; Gatheral, Jim
22
2016
Backward stochastic differential equations with rough drivers. Zbl 1259.60057
Diehl, Joscha; Friz, Peter
21
2012
Marginal density expansions for diffusions and stochastic volatility. II: Applications. Zbl 1415.91326
Deuschel, J. D.; Friz, P. K.; Jacquier, A.; Violante, S.
21
2014
Robust filtering: correlated noise and multidimensional observation. Zbl 1296.60097
Crisan, D.; Diehl, J.; Friz, P. K.; Oberhauser, H.
20
2013
Canonical RDEs and general semimartingales as rough paths. Zbl 1475.60203
Chevyrev, Ilya; Friz, Peter K.
20
2019
Differential equations driven by rough paths with jumps. Zbl 1432.60098
Friz, Peter K.; Zhang, Huilin
20
2018
A generalized Fernique theorem and applications. Zbl 1202.60057
Friz, Peter; Oberhauser, Harald
19
2010
Valuation of volatility derivatives as an inverse problem. Zbl 1134.91417
Friz, Peter; Gatheral, Jim
19
2005
Integrability of (non-)linear rough differential equations and integrals. Zbl 1274.60173
Friz, Peter; Riedel, Sebastian
18
2013
Short-time near-the-money skew in rough fractional volatility models. Zbl 1420.91445
Bayer, C.; Friz, P. K.; Gulisashvili, A.; Horvath, B.; Stemper, B.
18
2019
General rough integration, Lévy rough paths and a Lévy-Kintchine-type formula. Zbl 1412.60103
Friz, Peter K.; Shekhar, Atul
17
2017
Physical Brownian motion in a magnetic field as a rough path. Zbl 1390.60257
Friz, Peter; Gassiat, Paul; Lyons, Terry
17
2015
Euler estimates for rough differential equations. Zbl 1140.60037
Friz, Peter; Victoir, Nicolas
17
2008
Malliavin calculus for regularity structures: the case of gPAM. Zbl 1367.60062
Cannizzaro, G.; Friz, P. K.; Gassiat, P.
16
2017
Continuity of the Itô-map for Hölder rough paths with applications to the support theorem in Hölder norm. Zbl 1090.60038
Friz, Peter K.
15
2005
Large deviations and asymptotic methods in finance. Zbl 1322.60003
14
2015
From random walks to rough paths. Zbl 1179.60017
Breuillard, Emmanuel; Friz, Peter; Huesmann, Martin
14
2009
Application of large deviation methods to the pricing of index options in finance. Zbl 1053.91057
Avellaneda, Marco; Boyer-Olson, Dash; Busca, Jérôme; Friz, Peter
14
2003
Convergence rates for the full Gaussian rough paths. Zbl 1295.60045
Friz, Peter; Riedel, Sebastian
14
2014
From rough path estimates to multilevel Monte Carlo. Zbl 1343.60097
Bayer, Christian; Friz, Peter K.; Riedel, Sebastian; Schoenmakers, John
13
2016
Stochastic scalar conservation laws driven by rough paths. Zbl 1345.60055
Friz, Peter K.; Gess, Benjamin
12
2016
Lévy’s area under conditioning. Zbl 1099.60054
Friz, P.; Lyons, T.; Stroock, D.
12
2006
Semi-closed form cubature and applications to financial diffusion models. Zbl 1281.91180
Bayer, Christian; Friz, Peter; Loeffen, Ronnie
12
2013
Good rough path sequences and applications to anticipating stochastic calculus. Zbl 1132.60053
Coutin, Laure; Friz, Peter; Victoir, Nicolas
12
2007
Multiscale systems, homogenization, and rough paths. Zbl 1443.60060
Chevyrev, Ilya; Friz, Peter K.; Korepanov, Alexey; Melbourne, Ian; Zhang, Huilin
12
2019
Large deviation principle for enhanced Gaussian processes. Zbl 1172.60306
Friz, Peter; Victoir, Nicolas
11
2007
Eikonal equations and pathwise solutions to fully non-linear SPDEs. Zbl 1377.35293
Friz, Peter K.; Gassiat, Paul; Lions, Pierre-Louis; Souganidis, Panagiotis E.
10
2017
A note on higher dimensional \(p\)-variation. Zbl 1244.60066
Friz, Peter; Victoir, Nicolas
10
2011
How to make Dupire’s local volatility work with jumps. Zbl 1402.91776
Friz, Peter K.; Gerhold, Stefan; Yor, Marc
10
2014
A regularity structure for rough volatility. Zbl 07326769
Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin
10
2020
Option pricing in the moderate deviations regime. Zbl 1411.91554
Friz, Peter; Gerhold, Stefan; Pinter, Arpad
10
2018
Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac. Zbl 1392.35335
Diehl, Joscha; Friz, Peter K.; Stannat, Wilhelm
10
2017
Parametrising the attractor of the two-dimensional Navier-Stokes equations with a finite number of nodal values. Zbl 1076.35090
Friz, P. K.; Robinson, J. C.
9
2001
Smooth attractors have zero “thickness”. Zbl 0971.37011
Friz, Peter K.; Robinson, James C.
9
1999
Pathwise McKean-Vlasov theory with additive noise. Zbl 1470.60083
Coghi, Michele; Deuschel, Jean-Dominique; Friz, Peter Karl; Maurelli, Mario
9
2020
On the splitting-up method for rough (partial) differential equations. Zbl 1235.35289
Friz, Peter; Oberhauser, Harald
9
2011
Doob-Meyer for rough paths. Zbl 1297.60037
Friz, Peter; Shekhar, Atul
9
2013
On the existence of SLE trace: finite energy drivers and non-constant \(\kappa \). Zbl 1407.60113
Friz, Peter K.; Shekhar, Atul
9
2017
Regularity theory for rough partial differential equations and parabolic comparison revisited. Zbl 1384.35148
Diehl, Joscha; Friz, Peter K.; Oberhauser, Harald
9
2014
Nodal parametrisation of analytic attractors. Zbl 1153.37439
Friz, Peter K.; Kukavica, Igor; Robinson, James C.
8
2001
On uniformly subelliptic operators and stochastic area. Zbl 1151.31009
Friz, Peter; Victoir, Nicolas
8
2008
The Burkholder-Davis-Gundy inequality for enhanced martingales. Zbl 1156.60027
Friz, Peter; Victoir, Nicolas
8
2008
Superdiffusive limits for deterministic fast-slow dynamical systems. Zbl 1473.37011
Chevyrev, Ilya; Friz, Peter K.; Korepanov, Alexey; Melbourne, Ian
8
2020
Varieties of signature tensors. Zbl 1411.14068
Améndola, Carlos; Friz, Peter; Sturmfels, Bernd
8
2019
A rough path perspective on renormalization. Zbl 1436.60086
Bruned, Y.; Chevyrev, I.; Friz, P. K.; Preiß, R.
8
2019
A course on rough paths. With an introduction to regularity structures. 2nd updated edition. Zbl 1437.60002
Friz, Peter K.; Hairer, Martin
8
2020
Support theorem for a singular SPDE: the case of gPAM. Zbl 1388.60108
Chouk, K.; Friz, P. K.
6
2018
Stochastic control with rough paths. Zbl 1373.60099
Diehl, Joscha; Friz, Peter K.; Gassiat, Paul
5
2017
Stochastic many-particle model for LFP electrodes. Zbl 1392.80002
Guhlke, Clemens; Gajewski, Paul; Maurelli, Mario; Friz, Peter K.; Dreyer, Wolfgang
5
2018
The enhanced Sanov theorem and propagation of chaos. Zbl 1434.60313
Deuschel, Jean-Dominique; Friz, Peter K.; Maurelli, Mario; Slowik, Martin
5
2018
Convergence rates for the full Brownian rough paths with applications to limit theorems for stochastic flows. Zbl 1237.60044
Friz, Peter; Riedel, Sebastian
4
2011
On the regularity of SLE trace. Zbl 1390.60300
Friz, Peter K.; Tran, Huy
4
2017
Extrapolation analytics for Dupire’s local volatility. Zbl 1418.91511
Friz, Peter; Gerhold, Stefan
4
2015
Precise asymptotics: robust stochastic volatility models. Zbl 1476.60183
Friz, P. K.; Gassiat, P.; Pigato, P.
4
2021
Pathwise stability of likelihood estimators for diffusions via rough paths. Zbl 1402.62189
Diehl, Joscha; Friz, Peter; Mai, Hilmar
3
2016
Cubature on Wiener space: pathwise convergence. Zbl 1276.60069
Bayer, Christian; Friz, Peter K.
3
2013
Malliavin calculus and rough paths. Zbl 1229.60070
Cass, Thomas; Friz, Peter
3
2011
Parametrising the attractor of the two-dimensional Navier-Stokes equations with a finite number of nodal values. Zbl 0969.35024
Friz, Peter K.; Robinson, James C.
3
2001
Rough path metrics on a Besov-Nikolskii-type scale. Zbl 1428.60143
Friz, Peter K.; Prömel, David J.
3
2018
On the probability density function of baskets. Zbl 1418.91502
Bayer, Christian; Friz, Peter K.; Laurence, Peter
3
2015
Rough paths and PDEs. Abstracts from the workshop held August 19–25, 2012. Zbl 1349.00120
2
2012
Examples of renormalized SDEs. Zbl 1405.60083
Bruned, Y.; Chevyrev, I.; Friz, P. K.
2
2018
Constructing an elementary measure on a space of projections. Zbl 1189.53072
Friz, Peter K.; Robinson, James C.
1
2002
Geometric foundations of rough paths. Zbl 1360.58028
Friz, Peter; Gassiat, Paul
1
2016
Forests, cumulants, martingales. Zbl 07527829
Friz, Peter K.; Gatheral, Jim; Radoičić, Radoš
1
2022
Existence, uniqueness and stability of semi-linear rough partial differential equations. Zbl 1471.60163
Friz, Peter K.; Nilssen, Torstein; Stannat, Wilhelm
1
2020
Transport and continuity equations with (very) rough noise. Zbl 1479.35966
Bellingeri, C.; Djurdjevac, A.; Friz, P. K.; Tapia, N.
1
2021
Local volatility, conditioned diffusions, and Varadhan’s formula. Zbl 1410.91443
De Marco, Stefano; Friz, Peter K.
1
2018
Regularity of SLE in \((t,\kappa)\) and refined GRR estimates. Zbl 1468.30021
Friz, Peter K.; Tran, Huy; Yuan, Yizheng
1
2021
Is the minimum value of an option on variance generated by local volatility? Zbl 1214.91145
Beiglböck, Mathias; Friz, Peter; Sturm, Stephan
1
2011
Forests, cumulants, martingales. Zbl 07527829
Friz, Peter K.; Gatheral, Jim; Radoičić, Radoš
1
2022
Precise asymptotics: robust stochastic volatility models. Zbl 1476.60183
Friz, P. K.; Gassiat, P.; Pigato, P.
4
2021
Transport and continuity equations with (very) rough noise. Zbl 1479.35966
Bellingeri, C.; Djurdjevac, A.; Friz, P. K.; Tapia, N.
1
2021
Regularity of SLE in \((t,\kappa)\) and refined GRR estimates. Zbl 1468.30021
Friz, Peter K.; Tran, Huy; Yuan, Yizheng
1
2021
A regularity structure for rough volatility. Zbl 07326769
Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin
10
2020
Pathwise McKean-Vlasov theory with additive noise. Zbl 1470.60083
Coghi, Michele; Deuschel, Jean-Dominique; Friz, Peter Karl; Maurelli, Mario
9
2020
Superdiffusive limits for deterministic fast-slow dynamical systems. Zbl 1473.37011
Chevyrev, Ilya; Friz, Peter K.; Korepanov, Alexey; Melbourne, Ian
8
2020
A course on rough paths. With an introduction to regularity structures. 2nd updated edition. Zbl 1437.60002
Friz, Peter K.; Hairer, Martin
8
2020
Existence, uniqueness and stability of semi-linear rough partial differential equations. Zbl 1471.60163
Friz, Peter K.; Nilssen, Torstein; Stannat, Wilhelm
1
2020
Canonical RDEs and general semimartingales as rough paths. Zbl 1475.60203
Chevyrev, Ilya; Friz, Peter K.
20
2019
Short-time near-the-money skew in rough fractional volatility models. Zbl 1420.91445
Bayer, C.; Friz, P. K.; Gulisashvili, A.; Horvath, B.; Stemper, B.
18
2019
Multiscale systems, homogenization, and rough paths. Zbl 1443.60060
Chevyrev, Ilya; Friz, Peter K.; Korepanov, Alexey; Melbourne, Ian; Zhang, Huilin
12
2019
Varieties of signature tensors. Zbl 1411.14068
Améndola, Carlos; Friz, Peter; Sturmfels, Bernd
8
2019
A rough path perspective on renormalization. Zbl 1436.60086
Bruned, Y.; Chevyrev, I.; Friz, P. K.; Preiß, R.
8
2019
Differential equations driven by rough paths with jumps. Zbl 1432.60098
Friz, Peter K.; Zhang, Huilin
20
2018
Option pricing in the moderate deviations regime. Zbl 1411.91554
Friz, Peter; Gerhold, Stefan; Pinter, Arpad
10
2018
Support theorem for a singular SPDE: the case of gPAM. Zbl 1388.60108
Chouk, K.; Friz, P. K.
6
2018
Stochastic many-particle model for LFP electrodes. Zbl 1392.80002
Guhlke, Clemens; Gajewski, Paul; Maurelli, Mario; Friz, Peter K.; Dreyer, Wolfgang
5
2018
The enhanced Sanov theorem and propagation of chaos. Zbl 1434.60313
Deuschel, Jean-Dominique; Friz, Peter K.; Maurelli, Mario; Slowik, Martin
5
2018
Rough path metrics on a Besov-Nikolskii-type scale. Zbl 1428.60143
Friz, Peter K.; Prömel, David J.
3
2018
Examples of renormalized SDEs. Zbl 1405.60083
Bruned, Y.; Chevyrev, I.; Friz, P. K.
2
2018
Local volatility, conditioned diffusions, and Varadhan’s formula. Zbl 1410.91443
De Marco, Stefano; Friz, Peter K.
1
2018
General rough integration, Lévy rough paths and a Lévy-Kintchine-type formula. Zbl 1412.60103
Friz, Peter K.; Shekhar, Atul
17
2017
Malliavin calculus for regularity structures: the case of gPAM. Zbl 1367.60062
Cannizzaro, G.; Friz, P. K.; Gassiat, P.
16
2017
Eikonal equations and pathwise solutions to fully non-linear SPDEs. Zbl 1377.35293
Friz, Peter K.; Gassiat, Paul; Lions, Pierre-Louis; Souganidis, Panagiotis E.
10
2017
Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac. Zbl 1392.35335
Diehl, Joscha; Friz, Peter K.; Stannat, Wilhelm
10
2017
On the existence of SLE trace: finite energy drivers and non-constant \(\kappa \). Zbl 1407.60113
Friz, Peter K.; Shekhar, Atul
9
2017
Stochastic control with rough paths. Zbl 1373.60099
Diehl, Joscha; Friz, Peter K.; Gassiat, Paul
5
2017
On the regularity of SLE trace. Zbl 1390.60300
Friz, Peter K.; Tran, Huy
4
2017
The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory. Zbl 1347.60097
Friz, Peter K.; Gess, Benjamin; Gulisashvili, Archil; Riedel, Sebastian
25
2016
Pricing under rough volatility. Zbl 1465.91108
Bayer, Christian; Friz, Peter; Gatheral, Jim
22
2016
From rough path estimates to multilevel Monte Carlo. Zbl 1343.60097
Bayer, Christian; Friz, Peter K.; Riedel, Sebastian; Schoenmakers, John
13
2016
Stochastic scalar conservation laws driven by rough paths. Zbl 1345.60055
Friz, Peter K.; Gess, Benjamin
12
2016
Pathwise stability of likelihood estimators for diffusions via rough paths. Zbl 1402.62189
Diehl, Joscha; Friz, Peter; Mai, Hilmar
3
2016
Geometric foundations of rough paths. Zbl 1360.58028
Friz, Peter; Gassiat, Paul
1
2016
Physical Brownian motion in a magnetic field as a rough path. Zbl 1390.60257
Friz, Peter; Gassiat, Paul; Lyons, Terry
17
2015
Large deviations and asymptotic methods in finance. Zbl 1322.60003
14
2015
Extrapolation analytics for Dupire’s local volatility. Zbl 1418.91511
Friz, Peter; Gerhold, Stefan
4
2015
On the probability density function of baskets. Zbl 1418.91502
Bayer, Christian; Friz, Peter K.; Laurence, Peter
3
2015
A course on rough paths. With an introduction to regularity structures. Zbl 1327.60013
Friz, Peter K.; Hairer, Martin
207
2014
Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations. Zbl 1300.60093
Deuschel, J. D.; Friz, P. K.; Jacquier, A.; Violante, S.
24
2014
Rough path stability of (semi-)linear SPDEs. Zbl 1292.60064
Friz, Peter; Oberhauser, Harald
22
2014
Marginal density expansions for diffusions and stochastic volatility. II: Applications. Zbl 1415.91326
Deuschel, J. D.; Friz, P. K.; Jacquier, A.; Violante, S.
21
2014
Convergence rates for the full Gaussian rough paths. Zbl 1295.60045
Friz, Peter; Riedel, Sebastian
14
2014
How to make Dupire’s local volatility work with jumps. Zbl 1402.91776
Friz, Peter K.; Gerhold, Stefan; Yor, Marc
10
2014
Regularity theory for rough partial differential equations and parabolic comparison revisited. Zbl 1384.35148
Diehl, Joscha; Friz, Peter K.; Oberhauser, Harald
9
2014
Robust filtering: correlated noise and multidimensional observation. Zbl 1296.60097
Crisan, D.; Diehl, J.; Friz, P. K.; Oberhauser, H.
20
2013
Integrability of (non-)linear rough differential equations and integrals. Zbl 1274.60173
Friz, Peter; Riedel, Sebastian
18
2013
Semi-closed form cubature and applications to financial diffusion models. Zbl 1281.91180
Bayer, Christian; Friz, Peter; Loeffen, Ronnie
12
2013
Doob-Meyer for rough paths. Zbl 1297.60037
Friz, Peter; Shekhar, Atul
9
2013
Cubature on Wiener space: pathwise convergence. Zbl 1276.60069
Bayer, Christian; Friz, Peter K.
3
2013
Backward stochastic differential equations with rough drivers. Zbl 1259.60057
Diehl, Joscha; Friz, Peter
21
2012
Rough paths and PDEs. Abstracts from the workshop held August 19–25, 2012. Zbl 1349.00120
2
2012
A (rough) pathwise approach to a class of non-linear stochastic partial differential equations. Zbl 1219.60061
Caruana, Michael; Friz, Peter K.; Oberhauser, Harald
43
2011
On refined volatility smile expansion in the Heston model. Zbl 1267.91068
Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan
22
2011
A note on higher dimensional \(p\)-variation. Zbl 1244.60066
Friz, Peter; Victoir, Nicolas
10
2011
On the splitting-up method for rough (partial) differential equations. Zbl 1235.35289
Friz, Peter; Oberhauser, Harald
9
2011
Convergence rates for the full Brownian rough paths with applications to limit theorems for stochastic flows. Zbl 1237.60044
Friz, Peter; Riedel, Sebastian
4
2011
Malliavin calculus and rough paths. Zbl 1229.60070
Cass, Thomas; Friz, Peter
3
2011
Is the minimum value of an option on variance generated by local volatility? Zbl 1214.91145
Beiglböck, Mathias; Friz, Peter; Sturm, Stephan
1
2011
Multidimensional stochastic processes as rough paths. Theory and applications. Zbl 1193.60053
Friz, Peter K.; Victoir, Nicolas B.
297
2010
Differential equations driven by Gaussian signals. Zbl 1202.60058
Friz, Peter; Victoir, Nicolas
56
2010
Densities for rough differential equations under Hörmander’s condition. Zbl 1205.60105
Cass, Thomas; Friz, Peter
48
2010
A generalized Fernique theorem and applications. Zbl 1202.60057
Friz, Peter; Oberhauser, Harald
19
2010
Regular variation and smile asymptotics. Zbl 1155.91377
Benaim, S.; Friz, P.
38
2009
Non-degeneracy of Wiener functionals arising from rough differential equations. Zbl 1175.60034
Cass, Thomas; Friz, Peter; Victoir, Nicolas
33
2009
Partial differential equations driven by rough paths. Zbl 1167.35386
Caruana, Michael; Friz, Peter
30
2009
Rough path limits of the Wong-Zakai type with a modified drift term. Zbl 1169.60011
Friz, Peter; Oberhauser, Harald
23
2009
From random walks to rough paths. Zbl 1179.60017
Breuillard, Emmanuel; Friz, Peter; Huesmann, Martin
14
2009
Smile asymptotics. II: Models with known moment generating functions. Zbl 1151.62079
Benaim, Shalom; Friz, Peter
22
2008
Euler estimates for rough differential equations. Zbl 1140.60037
Friz, Peter; Victoir, Nicolas
17
2008
On uniformly subelliptic operators and stochastic area. Zbl 1151.31009
Friz, Peter; Victoir, Nicolas
8
2008
The Burkholder-Davis-Gundy inequality for enhanced martingales. Zbl 1156.60027
Friz, Peter; Victoir, Nicolas
8
2008
Good rough path sequences and applications to anticipating stochastic calculus. Zbl 1132.60053
Coutin, Laure; Friz, Peter; Victoir, Nicolas
12
2007
Large deviation principle for enhanced Gaussian processes. Zbl 1172.60306
Friz, Peter; Victoir, Nicolas
11
2007
A note on the notion of geometric rough paths. Zbl 1108.34052
Friz, Peter; Victoir, Nicolas
28
2006
A variation embedding theorem and applications. Zbl 1114.46022
Friz, Peter; Victoir, Nicolas
25
2006
Lévy’s area under conditioning. Zbl 1099.60054
Friz, P.; Lyons, T.; Stroock, D.
12
2006
Approximations of the Brownian rough path with applications to stochastic analysis. Zbl 1080.60021
Friz, Peter; Victoir, Nicolas
33
2005
Valuation of volatility derivatives as an inverse problem. Zbl 1134.91417
Friz, Peter; Gatheral, Jim
19
2005
Continuity of the Itô-map for Hölder rough paths with applications to the support theorem in Hölder norm. Zbl 1090.60038
Friz, Peter K.
15
2005
Application of large deviation methods to the pricing of index options in finance. Zbl 1053.91057
Avellaneda, Marco; Boyer-Olson, Dash; Busca, Jérôme; Friz, Peter
14
2003
Constructing an elementary measure on a space of projections. Zbl 1189.53072
Friz, Peter K.; Robinson, James C.
1
2002
Parametrising the attractor of the two-dimensional Navier-Stokes equations with a finite number of nodal values. Zbl 1076.35090
Friz, P. K.; Robinson, J. C.
9
2001
Nodal parametrisation of analytic attractors. Zbl 1153.37439
Friz, Peter K.; Kukavica, Igor; Robinson, James C.
8
2001
Parametrising the attractor of the two-dimensional Navier-Stokes equations with a finite number of nodal values. Zbl 0969.35024
Friz, Peter K.; Robinson, James C.
3
2001
Smooth attractors have zero “thickness”. Zbl 0971.37011
Friz, Peter K.; Robinson, James C.
9
1999
all top 5

Cited by 756 Authors

67 Friz, Peter Karl
29 Tindel, Samy
23 Hairer, Martin
19 Gulisashvili, Archil
18 Gubinelli, Massimiliano
17 Jacquier, Antoine
14 Bailleul, Ismaël F.
13 Gess, Benjamin
13 Lyons, Terence John
13 Oberhauser, Harald
13 Perkowski, Nicolas
12 Bayer, Christian
12 Cass, Thomas Richard
12 Diehl, Joscha
12 Inahama, Yuzuru
12 Prömel, David J.
12 Riedel, Sebastian
11 Coutin, Laure
11 Deya, Aurélien
11 Garrido-Atienza, María José
11 Lejay, Antoine
11 Melbourne, Ian
10 Gassiat, Paul
10 Geng, Xi
10 Nualart, David
10 Ouyang, Cheng
10 Schmalfuß, Björn
10 Victoir, Nicolas B.
9 Boedihardjo, Horatio
9 Chevyrev, Ilya
9 Gerhold, Stefan
9 Hofmanová, Martina
8 Baudoin, Fabrice
8 Duc, Luu Hoang
8 Forde, Martin
8 Marie, Nicolas
7 Harang, Fabian Andsem
7 Horvath, Blanka
7 Hu, Yaozhong
7 Litterer, Christian
7 Nilssen, Torstein K.
7 Pigato, Paolo
7 Unterberger, Jérémie M.
6 Aida, Shigeki
6 Catellier, Rémi
6 Deuschel, Jean-Dominique
6 Hong, Phan Thanh
6 Lorig, Matthew J.
6 Pagliarani, Stefano
6 Pascucci, Andrea
6 Qian, Zhongmin M.
6 Teichmann, Josef
5 Besalú, Mireia
5 Brault, Antoine
5 Chouk, Khalil
5 Crisan, Dan O.
5 Ito, Yu
5 Liu, Chong
5 Liu, Yanghui
5 Neamţu, Alexandra
5 Neuenkirch, Andreas
5 Robinson, James Cooper
5 Souganidis, Panagiotis E.
5 Yamada, Toshihiro
4 Alòs, Elisa
4 Bruned, Yvain
4 Caravenna, Francesco
4 Coghi, Michele
4 Cont, Rama
4 Hesse, Robert
4 łochowski, Rafał Marcin
4 Nguyen Dinh Cong
4 Pinter, Arpad
4 Rovira, Carles
4 Russo, Francesco
4 Schied, Alexander
4 Seeger, Benjamin
4 Tankov, Peter
4 Viitasaari, Lauri
4 Weber, Hendrik
4 Zhang, Hongzhong
4 Zhang, Huilin
4 Zhang, Jianfeng
3 Allan, Andrew L.
3 Cannizzaro, Giuseppe
3 Colmenarejo, Laura
3 De Marco, Stefano
3 Decreusefond, Laurent
3 Delarue, François
3 Fukasawa, Masaaki
3 Gatheral, Jim
3 Hocquet, Antoine
3 Keller-Ressel, Martin
3 Korepanov, Alexey
3 Kühn, Christian
3 Laurence, Peter
3 Lim, Nengli
3 Lim, Soon Hoe
3 Lopusanschi, Olga
3 Lu, Kening
...and 656 more Authors
all top 5

Cited in 167 Serials

53 Stochastic Processes and their Applications
35 The Annals of Probability
33 SIAM Journal on Financial Mathematics
27 Journal of Differential Equations
27 Journal of Functional Analysis
25 Quantitative Finance
24 Probability Theory and Related Fields
24 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
20 Electronic Journal of Probability
18 Stochastics and Dynamics
13 The Annals of Applied Probability
13 Stochastic and Partial Differential Equations. Analysis and Computations
12 Journal of Mathematical Analysis and Applications
10 Communications in Mathematical Physics
10 Journal of Theoretical Probability
10 Bernoulli
10 Finance and Stochastics
9 Transactions of the American Mathematical Society
9 Stochastic Analysis and Applications
9 International Journal of Theoretical and Applied Finance
8 Potential Analysis
8 Bulletin des Sciences Mathématiques
8 Mathematical Finance
7 Applied Mathematics and Optimization
7 Proceedings of the American Mathematical Society
7 Statistics & Probability Letters
7 Physica D
7 Discrete and Continuous Dynamical Systems. Series B
6 Communications on Pure and Applied Mathematics
6 Journal of Applied Probability
6 Applied Mathematical Finance
6 Electronic Communications in Probability
6 Discrete and Continuous Dynamical Systems
5 SIAM Journal on Mathematical Analysis
5 Journal of Dynamics and Differential Equations
5 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI
5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
5 Statistical Inference for Stochastic Processes
5 SIAM Journal on Applied Dynamical Systems
4 Journal of Statistical Physics
4 Inventiones Mathematicae
4 Journal of Computational and Applied Mathematics
4 Journal of the Mathematical Society of Japan
4 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
4 SIAM Journal on Numerical Analysis
4 Revista Matemática Iberoamericana
4 Journal of Dynamical and Control Systems
4 Annales Henri Poincaré
4 Mathematics and Financial Economics
4 Forum of Mathematics, Sigma
3 Journal of Mathematical Physics
3 Nonlinearity
3 Advances in Mathematics
3 Osaka Journal of Mathematics
3 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
3 Communications in Partial Differential Equations
3 Differential Equations
3 Stochastics
3 International Journal of Stochastic Analysis
2 Archive for Rational Mechanics and Analysis
2 Israel Journal of Mathematics
2 Theory of Probability and its Applications
2 Annales de l’Institut Fourier
2 Collectanea Mathematica
2 Proceedings of the London Mathematical Society. Third Series
2 SIAM Journal on Control and Optimization
2 Tôhoku Mathematical Journal. Second Series
2 Acta Applicandae Mathematicae
2 Applied Numerical Mathematics
2 Journal of Complexity
2 International Journal of Approximate Reasoning
2 Forum Mathematicum
2 European Journal of Operational Research
2 Journal de Mathématiques Pures et Appliquées. Neuvième Série
2 Bulletin of the American Mathematical Society. New Series
2 Annales Mathématiques Blaise Pascal
2 NoDEA. Nonlinear Differential Equations and Applications
2 Journal of Inequalities and Applications
2 Chaos
2 Annals of Mathematics. Second Series
2 Journal of the European Mathematical Society (JEMS)
2 Journal of Evolution Equations
2 Decisions in Economics and Finance
2 Acta Mathematica Scientia. Series B. (English Edition)
2 Journal of Machine Learning Research (JMLR)
2 Review of Derivatives Research
2 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
2 ALEA. Latin American Journal of Probability and Mathematical Statistics
2 Frontiers of Mathematics in China
2 Electronic Journal of Statistics
2 Annals of Finance
2 Forum of Mathematics, Pi
2 Transactions of the American Mathematical Society. Series B
2 Annales Henri Lebesgue
2 Probability, Uncertainty and Quantitative Risk
1 Advances in Applied Probability
1 Computers & Mathematics with Applications
1 Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV)
1 Lithuanian Mathematical Journal
1 Mathematical Methods in the Applied Sciences
...and 67 more Serials
all top 5

Cited in 51 Fields

595 Probability theory and stochastic processes (60-XX)
164 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
143 Partial differential equations (35-XX)
73 Ordinary differential equations (34-XX)
70 Numerical analysis (65-XX)
59 Dynamical systems and ergodic theory (37-XX)
38 Statistics (62-XX)
33 Real functions (26-XX)
26 Fluid mechanics (76-XX)
23 Functional analysis (46-XX)
23 Global analysis, analysis on manifolds (58-XX)
22 Statistical mechanics, structure of matter (82-XX)
22 Systems theory; control (93-XX)
17 Operator theory (47-XX)
14 Measure and integration (28-XX)
14 Approximations and expansions (41-XX)
13 Calculus of variations and optimal control; optimization (49-XX)
12 Quantum theory (81-XX)
10 Associative rings and algebras (16-XX)
10 Functions of a complex variable (30-XX)
10 Harmonic analysis on Euclidean spaces (42-XX)
8 Topological groups, Lie groups (22-XX)
8 Integral equations (45-XX)
8 Differential geometry (53-XX)
8 Computer science (68-XX)
7 Algebraic geometry (14-XX)
7 Nonassociative rings and algebras (17-XX)
4 Combinatorics (05-XX)
4 General topology (54-XX)
4 Operations research, mathematical programming (90-XX)
3 Geophysics (86-XX)
2 General and overarching topics; collections (00-XX)
2 Commutative algebra (13-XX)
2 Linear and multilinear algebra; matrix theory (15-XX)
2 Potential theory (31-XX)
2 Several complex variables and analytic spaces (32-XX)
2 Special functions (33-XX)
2 Abstract harmonic analysis (43-XX)
2 Integral transforms, operational calculus (44-XX)
2 Algebraic topology (55-XX)
2 Mechanics of particles and systems (70-XX)
2 Biology and other natural sciences (92-XX)
1 Number theory (11-XX)
1 Difference and functional equations (39-XX)
1 Sequences, series, summability (40-XX)
1 Convex and discrete geometry (52-XX)
1 Manifolds and cell complexes (57-XX)
1 Mechanics of deformable solids (74-XX)
1 Optics, electromagnetic theory (78-XX)
1 Astronomy and astrophysics (85-XX)
1 Information and communication theory, circuits (94-XX)

Citations by Year

The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.