Emilio Ferrucci homepage
Emilio Ferrucci

Emilio Ferrucci

Address
Mathematical Institute
University of Oxford
Office S3.24

E-mail
Emilio.RossiFerrucci(∀⊥)maths.ox.ac.uk

About me

Hi! I was a postdoctoral research associate at the Mathematical Institute, University of Oxford, from April 2022 - April 2025. I was funded by DataSıg (EPSRC Programme Grant EP/S026347/1). Here is my CV and here is my PhD thesis. My research interests are:

  • The theory of rough paths, particularly as it applies to stochastic processes.
  • Machine learning techniques that use path signatures.
  • Malliavin calculus for Gaussian processes.
  • Rough and stochastic differential equations on smooth manifolds.
  • Applications of algebraic combinatorics to stochastic analysis.

Papers and preprints

  • Rough differential equations for volatility
    With Ofelia Bonesini, Ioannis Gasteratos and Antoine Jacquier
    Preprint arXiv:2412.21192 (2024)
  • High-degree cubature on Wiener space through unshuffle expansions
    With Timothy Herschell, Christian Litterer and Terry Lyons
    Preprint arXiv:2411.13707 (2024)
  • Signature Kernel Conditional Independence Tests in Causal Discovery for Stochastic Processes
    With Georg Manten*, Cecilia Casolo*, Søren Wengel Mogensen, Cristopher Salvi and Niki Kilbertus
    Preprint arXiv:2402.18477 (2024)
  • Branched Itô Formula and natural Itô-Stratonovich isomorphism
    With Carlo Bellingeri and Nikolas Tapia
    Preprint arXiv:2312.04523 (2023)
  • On the Wiener chaos expansion of the signature of a Gaussian process
    With Thomas Cass
    Probability Theory and Related Fields (2024), arXiv:2207.08422
  • A transfer principle for branched rough paths
    To appear in Annales de l'Institut Henri Poincare (B) Probability and Statistics arXiv:2205.00582 (2023)
  • A neural RDE approach for continuous-time non-Markovian stochastic control problems
    With Melker Hoglund, Camilo Hernandez, Aitor Muguruza Gonzalez, Cristopher Salvi, Leandro Sanchez-Betancourt and Yufei Zhang
    ICML 2023, Frontiers4LCD (2023)
  • Projections of SDEs onto submanifolds
    With John Armstrong and Damiano Brigo
    Information Geometry (2023)
  • Non-geometric rough paths on manifolds
    With John Armstrong, Damiano Brigo and Thomas Cass
    Journal of the London Mathematical Society (2022), arXiv:2007.06970
  • A combinatorial approach to geometric rough paths and their controlled paths
    With Thomas Cass, Bruce Driver and Christian Litterer
    Journal of the London Mathematical Society (2022), arXiv:2112.08034
  • Optimal approximation of SDEs on submanifolds: the Itô-vector and Itô-jet projections
    With John Armstrong and Damiano Brigo
    Proceedings of the London Mathematical Society (2019)