Christian Litterer

Search results

• 2022

  A combinatorial approach to geometric rough paths and their controlled paths

  Cass, T., Driver, B. K., Litterer, C. & Rossi Ferrucci, E., 5 Sept 2022, In: Journal of the London Mathematical Society. 2, p. 936-981 46 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2016

  A dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA

  Litterer, C., Ren, Z. & Henry-Labordère, P., 19 Apr 2016, In: SIAM Journal on Financial Mathematics. 7, 1, p. 159-182

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• On the integration of weakly geometric rough paths

  Litterer, C., Cass, T., Driver, B. K. & Lim, N., Oct 2016, In: Journal of the Mathematical Society of Japan. 68, 4, p. 1505-1524 19 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2015

  A gradient estimate for the heat semi-group without hypoellipticity assumptions

  Cass, T. & Litterer, C., 1 Jan 2015, In: Proceedings of the American Mathematical Society. 143, 11, p. 4967-4972 6 p.

  Research output: Contribution to journal › Article › peer-review

• Constrained Rough Paths

  Cass, T., Driver, B. K. & Litterer, C., 22 Dec 2015, In: Proceedings of the London Mathematical Society. 111, 6, p. 1471-1518 48 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

• Kusuoka-Stroock gradient bounds for the solution of the filtering equation

  Crisan, D., Litterer, C. & Lyons, T., 1 Apr 2015, In: Journal of Functional Analysis. 268, 7, p. 1928-1971 44 p.

  Research output: Contribution to journal › Article › peer-review

• Smoothness of the density for solutions to Gaussian rough differential equations

  Cass, T., Hairer, M., Litterer, C. & Tindel, S., Feb 2015, In: Annals of Probability. 43, 1, p. 188-239 52 p.

  Research output: Contribution to journal › Article › peer-review
• 2014

  On a Chen–Fliess approximation for diffusion functionals

  Litterer, C. & Oberhauser, H., 2014, In: Monatshefte fur Mathematik. 175, 4, p. 577-593 17 p.

  Research output: Contribution to journal › Article › peer-review

• On the error estimate for cubature on wiener space

  Cass, T. & Litterer, C., Jun 2014, In: Proceedings of the Edinburgh Mathematical Society. 57, 2, p. 377-391 15 p.

  Research output: Contribution to journal › Article › peer-review
• 2013

  Integrability and tail estimates for Gaussian rough differential equations

  Cass, T., Litterer, C. & Lyons, T., 20 Aug 2013, In: Annals of Probability. 41, 4, p. 3026-3050 25 p.

  Research output: Contribution to journal › Article › peer-review
• 2012

  High order recombination and an application to cubature on wiener space

  Litterer, C. & Lyons, T., Aug 2012, In: The Annals of Applied Probability. 22, 4, p. 1301-1327 27 p.

  Research output: Contribution to journal › Article › peer-review