Emilio Ferrucci

Address
Mathematical Institute
University of Oxford
Office S3.24

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

About me

Hi! I am a postdoctoral research associate at the Mathematical Institute, University of Oxford. I am funded by DataSıg (EPSRC Programme Grant EP/S026347/1). Previously, I was postdoc at the Department of Mathematics, Imperial College London, where I also obtained my PhD. 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, especially in connection with causal discovery in continuous time.
• Rough and stochastic differential equations on smooth manifolds.
• Malliavin calculus for Gaussian processes.
• Applications of algebraic combinatorics to rough analysis (e.g. Hopf algebras and branched rough paths).

Papers and preprints

• 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)