## Friz, Peter Karl

Compute Distance To:
 Author ID: friz.peter-k Published as: Friz, Peter K.; Friz, Peter; Friz, P. K.; Friz, P.; Friz, Peter Karl more...less Homepage: http://page.math.tu-berlin.de/~friz/ External Links: MGP · Wikidata · GND · IdRef · theses.fr
 Documents Indexed: 92 Publications since 1999, including 3 Books 6 Contributions as Editor Co-Authors: 77 Co-Authors with 97 Joint Publications 1,685 Co-Co-Authors
all top 5

### Co-Authors

 1 single-authored 12 Victoir, Nicolas B. 8 Gassiat, Paul 8 Oberhauser, Harald 7 Bayer, Christian 7 Diehl, Joscha 6 Chevyrev, Ilya 6 Riedel, Sebastian 5 Cass, Thomas Richard 5 Robinson, James Cooper 4 Deuschel, Jean-Dominique 4 Gatheral, Jim 4 Gerhold, Stefan 4 Gulisashvili, Archil 4 Jacquier, Antoine 4 Maurelli, Mario 3 Crisan, Dan O. 3 Gubinelli, Massimiliano 3 Korepanov, Alexey 3 Melbourne, Ian 3 Shekhar, Atul 3 Stannat, Wilhelm 3 Zhang, Huilin 2 Bellingeri, Carlo 2 Benaim, Shalom 2 Bruned, Yvain 2 Caruana, Michael 2 Coghi, Michele 2 Dreyer, Wolfgang 2 Gajewski, Paul 2 Gess, Benjamin 2 Guhlke, Clemens 2 Hairer, Martin 2 Lyons, Terence John 2 Mai, Hilmar 2 Pigato, Paolo 2 Preiß, Rosa 2 Stemper, Benjamin 2 Sturm, Stephan 2 Tapia, Nikolas 2 Teichmann, Josef 2 Tran, Huy Dat 2 Violante, S. 1 Améndola, Carlos 1 Avellaneda, Marco 1 Beiglböck, Mathias 1 Boyer-Olson, Dash 1 Breuillard, Emmanuel 1 Busca, Jérôme 1 Cannizzaro, Giuseppe 1 Chouk, Khalil 1 Coutin, Laure 1 De Marco, Stefano 1 Djurdjevac, Ana 1 Hager, Paul P. 1 Horvath, Blanka 1 Huesmann, Martin 1 Klose, Tom 1 König, Wolfgang Dieter 1 Kukavica, Igor 1 Laurence, Peter 1 Lions, Pierre-Louis 1 Loeffen, Ronnie L. 1 Martin, Jörg 1 Mukherjee, Chiranjib 1 Nilssen, Torstein K. 1 Olla, Stefano 1 Paycha, Sylvie 1 Pinter, Arpad 1 Prömel, David J. 1 Radoičić, Radoš 1 Schoenmakers, John G. M. 1 Slowik, Martin 1 Souganidis, Panagiotis E. 1 Stroock, Daniel W. 1 Sturmfels, Bernd 1 Yor, Marc 1 Yuan, Yizheng
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
all top 5

### Fields

 85 Probability theory and stochastic processes (60-XX) 21 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 17 Partial differential equations (35-XX) 8 Ordinary differential equations (34-XX) 7 Dynamical systems and ergodic theory (37-XX) 7 Numerical analysis (65-XX) 6 General and overarching topics; collections (00-XX) 6 Statistics (62-XX) 4 Functional analysis (46-XX) 3 Systems theory; control (93-XX) 2 Algebraic geometry (14-XX) 2 Topological groups, Lie groups (22-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Fluid mechanics (76-XX) 1 Commutative algebra (13-XX) 1 Associative rings and algebras (16-XX) 1 Nonassociative rings and algebras (17-XX) 1 Functions of a complex variable (30-XX) 1 Potential theory (31-XX) 1 Sequences, series, summability (40-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Differential geometry (53-XX) 1 Computer science (68-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Quantum theory (81-XX) 1 Statistical mechanics, structure of matter (82-XX)

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

### Wikidata Timeline

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