Edit Profile (opens in new tab) Friz, Peter Karl Compute Distance To: Compute 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) Publications by Year all cited Publications top 5 cited Publications 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 1193.60053Friz, Peter K.; Victoir, Nicolas B. 297 2010 A course on rough paths. With an introduction to regularity structures. Zbl 1327.60013Friz, Peter K.; Hairer, Martin 207 2014 Differential equations driven by Gaussian signals. Zbl 1202.60058Friz, Peter; Victoir, Nicolas 56 2010 Densities for rough differential equations under Hörmander’s condition. Zbl 1205.60105Cass, Thomas; Friz, Peter 48 2010 A (rough) pathwise approach to a class of non-linear stochastic partial differential equations. Zbl 1219.60061Caruana, Michael; Friz, Peter K.; Oberhauser, Harald 43 2011 Regular variation and smile asymptotics. Zbl 1155.91377Benaim, S.; Friz, P. 38 2009 Non-degeneracy of Wiener functionals arising from rough differential equations. Zbl 1175.60034Cass, Thomas; Friz, Peter; Victoir, Nicolas 33 2009 Approximations of the Brownian rough path with applications to stochastic analysis. Zbl 1080.60021Friz, Peter; Victoir, Nicolas 33 2005 Partial differential equations driven by rough paths. Zbl 1167.35386Caruana, Michael; Friz, Peter 30 2009 A note on the notion of geometric rough paths. Zbl 1108.34052Friz, Peter; Victoir, Nicolas 28 2006 A variation embedding theorem and applications. Zbl 1114.46022Friz, Peter; Victoir, Nicolas 25 2006 The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory. Zbl 1347.60097Friz, Peter K.; Gess, Benjamin; Gulisashvili, Archil; Riedel, Sebastian 25 2016 Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations. Zbl 1300.60093Deuschel, 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 1169.60011Friz, Peter; Oberhauser, Harald 23 2009 On refined volatility smile expansion in the Heston model. Zbl 1267.91068Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan 22 2011 Rough path stability of (semi-)linear SPDEs. Zbl 1292.60064Friz, Peter; Oberhauser, Harald 22 2014 Smile asymptotics. II: Models with known moment generating functions. Zbl 1151.62079Benaim, Shalom; Friz, Peter 22 2008 Pricing under rough volatility. Zbl 1465.91108Bayer, Christian; Friz, Peter; Gatheral, Jim 22 2016 Backward stochastic differential equations with rough drivers. Zbl 1259.60057Diehl, Joscha; Friz, Peter 21 2012 Marginal density expansions for diffusions and stochastic volatility. II: Applications. Zbl 1415.91326Deuschel, J. D.; Friz, P. K.; Jacquier, A.; Violante, S. 21 2014 Robust filtering: correlated noise and multidimensional observation. Zbl 1296.60097Crisan, D.; Diehl, J.; Friz, P. K.; Oberhauser, H. 20 2013 Canonical RDEs and general semimartingales as rough paths. Zbl 1475.60203Chevyrev, Ilya; Friz, Peter K. 20 2019 Differential equations driven by rough paths with jumps. Zbl 1432.60098Friz, Peter K.; Zhang, Huilin 20 2018 A generalized Fernique theorem and applications. Zbl 1202.60057Friz, Peter; Oberhauser, Harald 19 2010 Valuation of volatility derivatives as an inverse problem. Zbl 1134.91417Friz, Peter; Gatheral, Jim 19 2005 Integrability of (non-)linear rough differential equations and integrals. Zbl 1274.60173Friz, Peter; Riedel, Sebastian 18 2013 Short-time near-the-money skew in rough fractional volatility models. Zbl 1420.91445Bayer, 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 1412.60103Friz, Peter K.; Shekhar, Atul 17 2017 Physical Brownian motion in a magnetic field as a rough path. Zbl 1390.60257Friz, Peter; Gassiat, Paul; Lyons, Terry 17 2015 Euler estimates for rough differential equations. Zbl 1140.60037Friz, Peter; Victoir, Nicolas 17 2008 Malliavin calculus for regularity structures: the case of gPAM. Zbl 1367.60062Cannizzaro, 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 1090.60038Friz, Peter K. 15 2005 Large deviations and asymptotic methods in finance. Zbl 1322.60003 14 2015 From random walks to rough paths. Zbl 1179.60017Breuillard, Emmanuel; Friz, Peter; Huesmann, Martin 14 2009 Application of large deviation methods to the pricing of index options in finance. Zbl 1053.91057Avellaneda, Marco; Boyer-Olson, Dash; Busca, Jérôme; Friz, Peter 14 2003 Convergence rates for the full Gaussian rough paths. Zbl 1295.60045Friz, Peter; Riedel, Sebastian 14 2014 From rough path estimates to multilevel Monte Carlo. Zbl 1343.60097Bayer, Christian; Friz, Peter K.; Riedel, Sebastian; Schoenmakers, John 13 2016 Stochastic scalar conservation laws driven by rough paths. Zbl 1345.60055Friz, Peter K.; Gess, Benjamin 12 2016 Lévy’s area under conditioning. Zbl 1099.60054Friz, P.; Lyons, T.; Stroock, D. 12 2006 Semi-closed form cubature and applications to financial diffusion models. Zbl 1281.91180Bayer, Christian; Friz, Peter; Loeffen, Ronnie 12 2013 Good rough path sequences and applications to anticipating stochastic calculus. Zbl 1132.60053Coutin, Laure; Friz, Peter; Victoir, Nicolas 12 2007 Multiscale systems, homogenization, and rough paths. Zbl 1443.60060Chevyrev, Ilya; Friz, Peter K.; Korepanov, Alexey; Melbourne, Ian; Zhang, Huilin 12 2019 Large deviation principle for enhanced Gaussian processes. Zbl 1172.60306Friz, Peter; Victoir, Nicolas 11 2007 Eikonal equations and pathwise solutions to fully non-linear SPDEs. Zbl 1377.35293Friz, Peter K.; Gassiat, Paul; Lions, Pierre-Louis; Souganidis, Panagiotis E. 10 2017 A note on higher dimensional \(p\)-variation. Zbl 1244.60066Friz, Peter; Victoir, Nicolas 10 2011 How to make Dupire’s local volatility work with jumps. Zbl 1402.91776Friz, Peter K.; Gerhold, Stefan; Yor, Marc 10 2014 A regularity structure for rough volatility. Zbl 07326769Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin 10 2020 Option pricing in the moderate deviations regime. Zbl 1411.91554Friz, Peter; Gerhold, Stefan; Pinter, Arpad 10 2018 Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac. Zbl 1392.35335Diehl, 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 1076.35090Friz, P. K.; Robinson, J. C. 9 2001 Smooth attractors have zero “thickness”. Zbl 0971.37011Friz, Peter K.; Robinson, James C. 9 1999 Pathwise McKean-Vlasov theory with additive noise. Zbl 1470.60083Coghi, Michele; Deuschel, Jean-Dominique; Friz, Peter Karl; Maurelli, Mario 9 2020 On the splitting-up method for rough (partial) differential equations. Zbl 1235.35289Friz, Peter; Oberhauser, Harald 9 2011 Doob-Meyer for rough paths. Zbl 1297.60037Friz, Peter; Shekhar, Atul 9 2013 On the existence of SLE trace: finite energy drivers and non-constant \(\kappa \). Zbl 1407.60113Friz, Peter K.; Shekhar, Atul 9 2017 Regularity theory for rough partial differential equations and parabolic comparison revisited. Zbl 1384.35148Diehl, Joscha; Friz, Peter K.; Oberhauser, Harald 9 2014 Nodal parametrisation of analytic attractors. Zbl 1153.37439Friz, Peter K.; Kukavica, Igor; Robinson, James C. 8 2001 On uniformly subelliptic operators and stochastic area. Zbl 1151.31009Friz, Peter; Victoir, Nicolas 8 2008 The Burkholder-Davis-Gundy inequality for enhanced martingales. Zbl 1156.60027Friz, Peter; Victoir, Nicolas 8 2008 Superdiffusive limits for deterministic fast-slow dynamical systems. Zbl 1473.37011Chevyrev, Ilya; Friz, Peter K.; Korepanov, Alexey; Melbourne, Ian 8 2020 Varieties of signature tensors. Zbl 1411.14068Améndola, Carlos; Friz, Peter; Sturmfels, Bernd 8 2019 A rough path perspective on renormalization. Zbl 1436.60086Bruned, 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 1437.60002Friz, Peter K.; Hairer, Martin 8 2020 Support theorem for a singular SPDE: the case of gPAM. Zbl 1388.60108Chouk, K.; Friz, P. K. 6 2018 Stochastic control with rough paths. Zbl 1373.60099Diehl, Joscha; Friz, Peter K.; Gassiat, Paul 5 2017 Stochastic many-particle model for LFP electrodes. Zbl 1392.80002Guhlke, Clemens; Gajewski, Paul; Maurelli, Mario; Friz, Peter K.; Dreyer, Wolfgang 5 2018 The enhanced Sanov theorem and propagation of chaos. Zbl 1434.60313Deuschel, 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 1237.60044Friz, Peter; Riedel, Sebastian 4 2011 On the regularity of SLE trace. Zbl 1390.60300Friz, Peter K.; Tran, Huy 4 2017 Extrapolation analytics for Dupire’s local volatility. Zbl 1418.91511Friz, Peter; Gerhold, Stefan 4 2015 Precise asymptotics: robust stochastic volatility models. Zbl 1476.60183Friz, P. K.; Gassiat, P.; Pigato, P. 4 2021 Pathwise stability of likelihood estimators for diffusions via rough paths. Zbl 1402.62189Diehl, Joscha; Friz, Peter; Mai, Hilmar 3 2016 Cubature on Wiener space: pathwise convergence. Zbl 1276.60069Bayer, Christian; Friz, Peter K. 3 2013 Malliavin calculus and rough paths. Zbl 1229.60070Cass, Thomas; Friz, Peter 3 2011 Parametrising the attractor of the two-dimensional Navier-Stokes equations with a finite number of nodal values. Zbl 0969.35024Friz, Peter K.; Robinson, James C. 3 2001 Rough path metrics on a Besov-Nikolskii-type scale. Zbl 1428.60143Friz, Peter K.; Prömel, David J. 3 2018 On the probability density function of baskets. Zbl 1418.91502Bayer, 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 1405.60083Bruned, Y.; Chevyrev, I.; Friz, P. K. 2 2018 Constructing an elementary measure on a space of projections. Zbl 1189.53072Friz, Peter K.; Robinson, James C. 1 2002 Geometric foundations of rough paths. Zbl 1360.58028Friz, Peter; Gassiat, Paul 1 2016 Forests, cumulants, martingales. Zbl 07527829Friz, Peter K.; Gatheral, Jim; Radoičić, Radoš 1 2022 Existence, uniqueness and stability of semi-linear rough partial differential equations. Zbl 1471.60163Friz, Peter K.; Nilssen, Torstein; Stannat, Wilhelm 1 2020 Transport and continuity equations with (very) rough noise. Zbl 1479.35966Bellingeri, C.; Djurdjevac, A.; Friz, P. K.; Tapia, N. 1 2021 Local volatility, conditioned diffusions, and Varadhan’s formula. Zbl 1410.91443De Marco, Stefano; Friz, Peter K. 1 2018 Regularity of SLE in \((t,\kappa)\) and refined GRR estimates. Zbl 1468.30021Friz, Peter K.; Tran, Huy; Yuan, Yizheng 1 2021 Is the minimum value of an option on variance generated by local volatility? Zbl 1214.91145Beiglböck, Mathias; Friz, Peter; Sturm, Stephan 1 2011 Forests, cumulants, martingales. Zbl 07527829Friz, Peter K.; Gatheral, Jim; Radoičić, Radoš 1 2022 Precise asymptotics: robust stochastic volatility models. Zbl 1476.60183Friz, P. K.; Gassiat, P.; Pigato, P. 4 2021 Transport and continuity equations with (very) rough noise. Zbl 1479.35966Bellingeri, C.; Djurdjevac, A.; Friz, P. K.; Tapia, N. 1 2021 Regularity of SLE in \((t,\kappa)\) and refined GRR estimates. Zbl 1468.30021Friz, Peter K.; Tran, Huy; Yuan, Yizheng 1 2021 A regularity structure for rough volatility. Zbl 07326769Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin 10 2020 Pathwise McKean-Vlasov theory with additive noise. Zbl 1470.60083Coghi, Michele; Deuschel, Jean-Dominique; Friz, Peter Karl; Maurelli, Mario 9 2020 Superdiffusive limits for deterministic fast-slow dynamical systems. Zbl 1473.37011Chevyrev, 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 1437.60002Friz, Peter K.; Hairer, Martin 8 2020 Existence, uniqueness and stability of semi-linear rough partial differential equations. Zbl 1471.60163Friz, Peter K.; Nilssen, Torstein; Stannat, Wilhelm 1 2020 Canonical RDEs and general semimartingales as rough paths. Zbl 1475.60203Chevyrev, Ilya; Friz, Peter K. 20 2019 Short-time near-the-money skew in rough fractional volatility models. Zbl 1420.91445Bayer, C.; Friz, P. K.; Gulisashvili, A.; Horvath, B.; Stemper, B. 18 2019 Multiscale systems, homogenization, and rough paths. Zbl 1443.60060Chevyrev, Ilya; Friz, Peter K.; Korepanov, Alexey; Melbourne, Ian; Zhang, Huilin 12 2019 Varieties of signature tensors. Zbl 1411.14068Améndola, Carlos; Friz, Peter; Sturmfels, Bernd 8 2019 A rough path perspective on renormalization. Zbl 1436.60086Bruned, Y.; Chevyrev, I.; Friz, P. K.; Preiß, R. 8 2019 Differential equations driven by rough paths with jumps. Zbl 1432.60098Friz, Peter K.; Zhang, Huilin 20 2018 Option pricing in the moderate deviations regime. Zbl 1411.91554Friz, Peter; Gerhold, Stefan; Pinter, Arpad 10 2018 Support theorem for a singular SPDE: the case of gPAM. Zbl 1388.60108Chouk, K.; Friz, P. K. 6 2018 Stochastic many-particle model for LFP electrodes. Zbl 1392.80002Guhlke, Clemens; Gajewski, Paul; Maurelli, Mario; Friz, Peter K.; Dreyer, Wolfgang 5 2018 The enhanced Sanov theorem and propagation of chaos. Zbl 1434.60313Deuschel, Jean-Dominique; Friz, Peter K.; Maurelli, Mario; Slowik, Martin 5 2018 Rough path metrics on a Besov-Nikolskii-type scale. Zbl 1428.60143Friz, Peter K.; Prömel, David J. 3 2018 Examples of renormalized SDEs. Zbl 1405.60083Bruned, Y.; Chevyrev, I.; Friz, P. K. 2 2018 Local volatility, conditioned diffusions, and Varadhan’s formula. Zbl 1410.91443De Marco, Stefano; Friz, Peter K. 1 2018 General rough integration, Lévy rough paths and a Lévy-Kintchine-type formula. Zbl 1412.60103Friz, Peter K.; Shekhar, Atul 17 2017 Malliavin calculus for regularity structures: the case of gPAM. Zbl 1367.60062Cannizzaro, G.; Friz, P. K.; Gassiat, P. 16 2017 Eikonal equations and pathwise solutions to fully non-linear SPDEs. Zbl 1377.35293Friz, 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 1392.35335Diehl, Joscha; Friz, Peter K.; Stannat, Wilhelm 10 2017 On the existence of SLE trace: finite energy drivers and non-constant \(\kappa \). Zbl 1407.60113Friz, Peter K.; Shekhar, Atul 9 2017 Stochastic control with rough paths. Zbl 1373.60099Diehl, Joscha; Friz, Peter K.; Gassiat, Paul 5 2017 On the regularity of SLE trace. Zbl 1390.60300Friz, 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 1347.60097Friz, Peter K.; Gess, Benjamin; Gulisashvili, Archil; Riedel, Sebastian 25 2016 Pricing under rough volatility. Zbl 1465.91108Bayer, Christian; Friz, Peter; Gatheral, Jim 22 2016 From rough path estimates to multilevel Monte Carlo. Zbl 1343.60097Bayer, Christian; Friz, Peter K.; Riedel, Sebastian; Schoenmakers, John 13 2016 Stochastic scalar conservation laws driven by rough paths. Zbl 1345.60055Friz, Peter K.; Gess, Benjamin 12 2016 Pathwise stability of likelihood estimators for diffusions via rough paths. Zbl 1402.62189Diehl, Joscha; Friz, Peter; Mai, Hilmar 3 2016 Geometric foundations of rough paths. Zbl 1360.58028Friz, Peter; Gassiat, Paul 1 2016 Physical Brownian motion in a magnetic field as a rough path. Zbl 1390.60257Friz, 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 1418.91511Friz, Peter; Gerhold, Stefan 4 2015 On the probability density function of baskets. Zbl 1418.91502Bayer, Christian; Friz, Peter K.; Laurence, Peter 3 2015 A course on rough paths. With an introduction to regularity structures. Zbl 1327.60013Friz, Peter K.; Hairer, Martin 207 2014 Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations. Zbl 1300.60093Deuschel, J. D.; Friz, P. K.; Jacquier, A.; Violante, S. 24 2014 Rough path stability of (semi-)linear SPDEs. Zbl 1292.60064Friz, Peter; Oberhauser, Harald 22 2014 Marginal density expansions for diffusions and stochastic volatility. II: Applications. Zbl 1415.91326Deuschel, J. D.; Friz, P. K.; Jacquier, A.; Violante, S. 21 2014 Convergence rates for the full Gaussian rough paths. Zbl 1295.60045Friz, Peter; Riedel, Sebastian 14 2014 How to make Dupire’s local volatility work with jumps. Zbl 1402.91776Friz, Peter K.; Gerhold, Stefan; Yor, Marc 10 2014 Regularity theory for rough partial differential equations and parabolic comparison revisited. Zbl 1384.35148Diehl, Joscha; Friz, Peter K.; Oberhauser, Harald 9 2014 Robust filtering: correlated noise and multidimensional observation. Zbl 1296.60097Crisan, D.; Diehl, J.; Friz, P. K.; Oberhauser, H. 20 2013 Integrability of (non-)linear rough differential equations and integrals. Zbl 1274.60173Friz, Peter; Riedel, Sebastian 18 2013 Semi-closed form cubature and applications to financial diffusion models. Zbl 1281.91180Bayer, Christian; Friz, Peter; Loeffen, Ronnie 12 2013 Doob-Meyer for rough paths. Zbl 1297.60037Friz, Peter; Shekhar, Atul 9 2013 Cubature on Wiener space: pathwise convergence. Zbl 1276.60069Bayer, Christian; Friz, Peter K. 3 2013 Backward stochastic differential equations with rough drivers. Zbl 1259.60057Diehl, 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 1219.60061Caruana, Michael; Friz, Peter K.; Oberhauser, Harald 43 2011 On refined volatility smile expansion in the Heston model. Zbl 1267.91068Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan 22 2011 A note on higher dimensional \(p\)-variation. Zbl 1244.60066Friz, Peter; Victoir, Nicolas 10 2011 On the splitting-up method for rough (partial) differential equations. Zbl 1235.35289Friz, Peter; Oberhauser, Harald 9 2011 Convergence rates for the full Brownian rough paths with applications to limit theorems for stochastic flows. Zbl 1237.60044Friz, Peter; Riedel, Sebastian 4 2011 Malliavin calculus and rough paths. Zbl 1229.60070Cass, Thomas; Friz, Peter 3 2011 Is the minimum value of an option on variance generated by local volatility? Zbl 1214.91145Beiglböck, Mathias; Friz, Peter; Sturm, Stephan 1 2011 Multidimensional stochastic processes as rough paths. Theory and applications. Zbl 1193.60053Friz, Peter K.; Victoir, Nicolas B. 297 2010 Differential equations driven by Gaussian signals. Zbl 1202.60058Friz, Peter; Victoir, Nicolas 56 2010 Densities for rough differential equations under Hörmander’s condition. Zbl 1205.60105Cass, Thomas; Friz, Peter 48 2010 A generalized Fernique theorem and applications. Zbl 1202.60057Friz, Peter; Oberhauser, Harald 19 2010 Regular variation and smile asymptotics. Zbl 1155.91377Benaim, S.; Friz, P. 38 2009 Non-degeneracy of Wiener functionals arising from rough differential equations. Zbl 1175.60034Cass, Thomas; Friz, Peter; Victoir, Nicolas 33 2009 Partial differential equations driven by rough paths. Zbl 1167.35386Caruana, Michael; Friz, Peter 30 2009 Rough path limits of the Wong-Zakai type with a modified drift term. Zbl 1169.60011Friz, Peter; Oberhauser, Harald 23 2009 From random walks to rough paths. Zbl 1179.60017Breuillard, Emmanuel; Friz, Peter; Huesmann, Martin 14 2009 Smile asymptotics. II: Models with known moment generating functions. Zbl 1151.62079Benaim, Shalom; Friz, Peter 22 2008 Euler estimates for rough differential equations. Zbl 1140.60037Friz, Peter; Victoir, Nicolas 17 2008 On uniformly subelliptic operators and stochastic area. Zbl 1151.31009Friz, Peter; Victoir, Nicolas 8 2008 The Burkholder-Davis-Gundy inequality for enhanced martingales. Zbl 1156.60027Friz, Peter; Victoir, Nicolas 8 2008 Good rough path sequences and applications to anticipating stochastic calculus. Zbl 1132.60053Coutin, Laure; Friz, Peter; Victoir, Nicolas 12 2007 Large deviation principle for enhanced Gaussian processes. Zbl 1172.60306Friz, Peter; Victoir, Nicolas 11 2007 A note on the notion of geometric rough paths. Zbl 1108.34052Friz, Peter; Victoir, Nicolas 28 2006 A variation embedding theorem and applications. Zbl 1114.46022Friz, Peter; Victoir, Nicolas 25 2006 Lévy’s area under conditioning. Zbl 1099.60054Friz, P.; Lyons, T.; Stroock, D. 12 2006 Approximations of the Brownian rough path with applications to stochastic analysis. Zbl 1080.60021Friz, Peter; Victoir, Nicolas 33 2005 Valuation of volatility derivatives as an inverse problem. Zbl 1134.91417Friz, Peter; Gatheral, Jim 19 2005 Continuity of the Itô-map for Hölder rough paths with applications to the support theorem in Hölder norm. Zbl 1090.60038Friz, Peter K. 15 2005 Application of large deviation methods to the pricing of index options in finance. Zbl 1053.91057Avellaneda, Marco; Boyer-Olson, Dash; Busca, Jérôme; Friz, Peter 14 2003 Constructing an elementary measure on a space of projections. Zbl 1189.53072Friz, 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 1076.35090Friz, P. K.; Robinson, J. C. 9 2001 Nodal parametrisation of analytic attractors. Zbl 1153.37439Friz, 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 0969.35024Friz, Peter K.; Robinson, James C. 3 2001 Smooth attractors have zero “thickness”. Zbl 0971.37011Friz, Peter K.; Robinson, James C. 9 1999 all cited Publications top 5 cited Publications 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 Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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