Publications
Papers and preprints, with original author bylines and links to the listed arXiv versions. Journal details and the year first posted to arXiv are shown separately.
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Published work
Stochastic Analysis of Overlapping Generations Models Under Incomplete Markets
Mathematics and Financial Economics, 20(2), 405-453 (2026).
Stochastic modelling of overlapping generations in an economy with incomplete markets.
Universal approximation on non-geometric rough paths and applications to financial derivatives pricing
Applied Mathematical Finance, 32(5), 319-355 (2025).
On the signature of an image
Stochastic Processes and their Applications, 187, 104661 (2025).
Extending signature methods from paths to image-type data.
Pathwise regularization by noise for semilinear SPDEs driven by a multiplicative cylindrical Brownian motion
Infinite Dimensional Analysis, Quantum Probability and Related Topics, 28(01), 2450019 (2025).
Dynamic spending and portfolio decisions with a soft social norm
Journal of Economic Dynamics and Control, 151, 104667 (2023).
Non-linear Young equations in the plane and pathwise regularization by noise for the stochastic wave equation
Stochastics and Partial Differential Equations: Analysis and Computations, 12(2), 857-897 (2024).
Volterra equations driven by rough signals 3: Probabilistic construction of the Volterra rough path for fractional Brownian motions
Journal of Theoretical Probability, 37(1), 307-351 (2024).
Distribution dependent SDEs driven by additive fractional Brownian motion
Probability Theory and Related Fields, 185(1-2), 251-309 (2023).
Distribution dependent SDEs driven by additive continuous noise
Electronic Journal of Probability, 27, 1–38 (2022).
Volterra equations driven by rough signals 2: higher order expansions
Stochastics and Dynamics, 23(01), 2350002 (2023).
Pathwise regularization of the stochastic heat equation with multiplicative noise through irregular perturbation
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 59(3), 1572–1609 (2023).
Pathwise Regularisation of Singular Interacting Particle Systems and their Mean Field Limits
Stochastic Processes and their Applications, 159, 499-540 (2023).
Regularization by noise for interacting particle systems and their mean field limits.
Log-modulated rough stochastic volatility models
SIAM Journal on Financial Mathematics, 12(3), 1257-1284 (2021).
Regularization of multiplicative SDEs through additive noise
The Annals of Applied Probability, 32(5), 3930–3963 (2022).
Regularity of Local times associated to Volterra-Lévy processes and path-wise regularization of stochastic differential equations
Journal of Theoretical Probability, 35(3), 1706-1735 (2022).
Infinite Dimensional Pathwise Volterra Processes Driven by Gaussian Noise -- Probabilistic Properties and Applications
Electronic Journal of Probability, 26 (2021).
C-infinity regularization of ODEs perturbed by noise
Stochastics and Dynamics, 21(08), 2140010 (2021).
Volterra Equations Driven by Rough Signals
Stochastic Processes and their Applications, 142, 34-78 (2021).
Self-Exciting Multifractional Processes
Journal of Applied Probability, 58(1), 22-41 (2021).
An extension of the sewing lemma to hyper-cubes and hyperbolic equations driven by multi parameter Young fields
Stochastics and Partial Differential Equations: Analysis and Computations, 9(3), 746-788 (2021).
A Bismut-Elworthy-Li Formula for Singular SDE's Driven by a Fractional Brownian Motion and Applications to Rough Volatility Modeling
Communications in Mathematical Sciences, 18(7), 1863-1890 (2020).
Differential Equations Driven by Variable Order Hölder Noise, and the Regularizing Effect of Delay
Stochastics, 92(1), 90-123 (2020).
Girsanov Theorem for Multifractional Brownian Processes
Stochastics, 94(8), 1137-1165 (2022).
Further papers and preprints
Dynamic Universal Approximation via Signature Controlled Differential Equations
Well-posedness and dynamic universal approximation for signature controlled differential equations.
Computational aspects of the Volterra Signature
Computational methods for Volterra signatures and their implementation in tensordev.
The Volterra signature
Weak Existence for Degenerate Distribution Dependent SDEs with multiplicative Noise -- a pathwise regularization approach
A multiparameter Stochastic Sewing lemma and the regularity of local times associated to Gaussian sheets