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Signature and Log Signature in rough path theory
Quick review of the central quantities in rough path theory
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Hawkes processes and Applications in Finance
Summarize a line of work in quantitative finance including scale limits of Hawkes processes and quadratic Hawkes processes
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Markov process and Poincare inequality
How to bound the variance of a Markov dynamical system?
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White noise - A more intuitive look
A further note of white noise in functional view
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Theoretical aspect of variational infrence for Neural SDEs
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Malliavin Calculus
(in progress) Some background of Mallivian Calculus
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Self-similarity and long-range dependence in fractional Brownian motions
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Numerical methods for SDEs
Study some approximation methods in solving SDEs, i.e., Euler-Maruyama method, Milstein's method,...