GPSART SIGNED
Geometric aspects in pathwise stochastic analysis and related topics
Total Cost €
0EC-Contrib. €
0Partnership
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Explore the words cloud of the GPSART project. It provides you a very rough idea of what is the project "GPSART" about.
Project "GPSART" data sheet
The following table provides information about the project.
| Coordinator |
TECHNISCHE UNIVERSITAT BERLIN
Organization address contact info |
| Coordinator Country | Germany [DE] |
| Project website | https://sites.google.com/site/erc2015gpsart/ |
| Total cost | 1˙465˙000 € |
| EC max contribution | 1˙465˙000 € (100%) |
| Programme |
1. H2020-EU.1.1. (EXCELLENT SCIENCE - European Research Council (ERC)) |
| Code Call | ERC-2015-CoG |
| Funding Scheme | ERC-COG |
| Starting year | 2016 |
| Duration (year-month-day) | from 2016-09-01 to 2021-08-31 |
Partnership
Take a look of project's partnership.
| # | ||||
|---|---|---|---|---|
| 1 | TECHNISCHE UNIVERSITAT BERLIN | DE (BERLIN) | coordinator | 1˙180˙000.00 |
| 2 | FORSCHUNGSVERBUND BERLIN EV | DE (BERLIN) | participant | 285˙000.00 |
Map
Project objective
'Recent years have seen an explosion of applications of geometric and pathwise ideas in probability theory, with motivations from fields as diverse as quantitative finance, statistics, filtering, control theory and statistical physics. Much can be traced back to Bismut, Malliavin (1970s) on the one-hand and then Doss, Sussman (1970s), Foellmer (1980s) on the other hand, with substantial new input from Lyons (from '94 on), followed by a number of workers, including Gubinelli (from '04 on) and the writer of these lines (also from '04 on). Most recently, the theory of such ``rough paths' has been extended to ``rough fields', notably in the astounding works of M. Hairer (from '13 on). The purpose of this project is to study a number of important problems in this field, going beyond the rough path setting, and with emphasis on geometric ideas.
(i) The transfer of concepts from rough path theory to the new world of Hairer's regularity structures.
(ii) Applications of geometric and pathwise ideas in quantitative finance.
(iii) Obtain a pathwise understanding of the geometry of Loewner evolution and more generally explore the use of rough path-inspired ideas in the world of Schramm-Loewner evolution.
(iv) Investigate the role of geometry in the pathwise analysis of non-linear evolution equations.'
Publications
| year | authors and title | journal | last update |
|---|---|---|---|
| 2019 |
Ilya Chevyrev, Peter K. Friz, Alexey Korepanov, Ian Melbourne Superdiffusive limits for deterministic fast-slow dynamical systems published pages: , ISSN: , DOI: |
2019-09-09 | |
| 2018 |
C. Bayer, P. K. Friz, A. Gulisashvili, B. Horvath, B. Stemper Short-time near-the-money skew in rough fractional volatility models published pages: 779-798, ISSN: 1469-7688, DOI: 10.1080/14697688.2018.1529420 |
Quantitative Finance 19/5 | 2019-09-09 |
| 2017 |
Christian Bayer, Peter K. Friz, Paul Gassiat, Joerg Martin, Benjamin Stemper A regularity structure for rough volatility published pages: , ISSN: , DOI: |
2019-09-09 | |
| 2018 |
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo Precise asymptotics: robust stochastic volatility models published pages: , ISSN: , DOI: |
1 | 2019-09-09 |
| 2018 |
Tran, Huy; Yuan, Yizheng A support theorem for SLE curves published pages: , ISSN: , DOI: |
1 | 2019-09-09 |
| 2019 |
Coghi, Michele; Deuschel, Jean-Dominique; Friz, Peter; Maurelli, Mario Pathwise McKean-Vlasov Theory published pages: , ISSN: , DOI: |
1 | 2019-09-09 |
| 2019 |
Khalil Chouk, Willem van Zuijlen Asymptotics of the eigenvalues of the Anderson Hamiltonian with white noise potential in two dimensions published pages: , ISSN: , DOI: |
2019-09-09 | |
| 2018 |
Peter K. Friz, David J. Prömel Rough path metrics on a Besov–Nikolskii-type scale published pages: 8521-8550, ISSN: 0002-9947, DOI: 10.1090/tran/7264 |
Transactions of the American Mathematical Society 370/12 | 2019-09-09 |
| 2019 |
Chevyrev, Ilya; Friz, Peter K.; Korepanov, Alexey; Melbourne, Ian; Zhang, Huilin Deterministic homogenization for discrete-time fast-slow systems under optimal moment assumptions published pages: , ISSN: , DOI: |
1 | 2019-09-09 |
| 2019 |
Peter K. Friz, Huy Tran, Yizheng Yuan Regularity of the Schramm-Loewner field and refined Garsia-Rodemich-Rumsey estimates published pages: , ISSN: , DOI: |
2019-09-09 | |
| 2019 |
CARLOS AMÉNDOLA, PETER FRIZ, BERND STURMFELS VARIETIES OF SIGNATURE TENSORS published pages: , ISSN: 2050-5094, DOI: 10.1017/fms.2019.3 |
Forum of Mathematics, Sigma 7 | 2019-09-05 |
| 2017 |
PETER K. FRIZ, HUY TRAN ON THE REGULARITY OF SLE TRACE published pages: , ISSN: 2050-5094, DOI: 10.1017/fms.2017.18 |
Forum of Mathematics, Sigma 5 | 2019-06-18 |
| 2018 |
Jean-Dominique Deuschel, Peter K. Friz, Mario Maurelli, Martin Slowik The enhanced Sanov theorem and propagation of chaos published pages: 2228-2269, ISSN: 0304-4149, DOI: 10.1016/j.spa.2017.09.010 |
Stochastic Processes and their Applications 128/7 | 2019-06-18 |
| 2017 |
Peter K. Friz, Paul Gassiat, Pierre-Louis Lions, Panagiotis E. Souganidis Eikonal equations and pathwise solutions to fully non-linear SPDEs published pages: 256-277, ISSN: 2194-0401, DOI: 10.1007/s40072-016-0087-9 |
Stochastics and Partial Differential Equations: Analysis and Computations 5/2 | 2019-06-18 |
| 2019 |
Y. Bruned, I. Chevyrev, P.K. Friz, R. Preiß A rough path perspective on renormalization published pages: 108283, ISSN: 0022-1236, DOI: 10.1016/j.jfa.2019.108283 |
Journal of Functional Analysis 60 | 2019-09-05 |
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