Publications
Under submission
Munawar Ali, Purba Das, Qi Feng, Liyao Gao, Guang Lin , Noise estimation of SDE from a single data trajectory. ArXiv
Purba Das, Anna P. Kwossek, David J. Prömel, A rough path approach to pathwise stochastic integration à la Föllmer. ArXiv
Artur Kotlicki, P. Das, Virginia Pugliese, X marks the bank: digitalisation and depositor runs. SSRN
Suprio Bhar, P. Das, Barun Sarkar, Pathwise Itˆo isometry for scaled quadratic variation. ArXiv
Accepted for publication
- Witold Bednorz, P. Das, R. Łochowski, Local times of deterministic paths and self-similar processes with stationary increments as normalized numbers of interval crossings. Accepted for publication in Annales de l’Institut Henri Poincaré
Published
2025
P. Das, R. Łochowski, T. Matsuda, N. Perkowski Level crossings of fractional Brownian motion. The Annals of Probability 2025, Vol. 53, No. 6, 2354–2393
P. Das, D. Kim On isomorphism of the space of continuous functions with finite p-th variation along a partition sequence. Journal de Mathématiques Pures et Appliquées Volume 203, November 2025, 103753
E. Bayraktar, P. Das, D. Kim H"older regularity and roughness: construction and examples. Bernoulli 31(2): 1084-1113 (May 2025). DOI: 10.3150/24-BEJ1761
2024
- R. Cont, P. Das. Rough Volatility: Fact or Artefact?. Sankhya B - Volume 86, pages 191–223, (2024)
2023
- R. Cont, P. Das. Quadratic variation and quadratic roughness. Bernoulli 29 (1) 496 - 522, February 2023
2022 and earlier
R. Cont, P. Das. Quadratic variation along refining partitions: Constructions and examples. Journal of Mathematical Analysis and Applications - Volume 512, 126173
P. Das, T. Parthasarathy, G. Ravindran. On Completely Mixed Stochastic Games. Operations Research Forum volume 3, Article number: 57 (2022)
P. Das, S. Das, A. Lahiri. Understanding Sea Ice Melting via Functional Data Analysis. Current Science Vol. 115, No. 5 (10 September 2018), pp. 920-929
Working paper
P. Das. Pathwise Dubins-Schwarz theorem. Working paper
R. Cont, P. Das. Measuring roughness of signals. Working paper
Thesis
- Purba Das Roughness properties of paths and signals. Dphil Thesis–University of Oxford 2022
- Purba Das On completely mixed stochastic games. Masters Thesis– Chennai mathematical institute 2018
Collaborators (alphabetical order by last name)
2. Erhan Bayraktar – University of Michigan
3. Suprio Bhar – Institution Unknown
4. Witold Bednorz – University of Warsaw
5. Rama Cont – University of Oxford
6. Sourish Das – Chennai Mathematical Institute
7. Qi Feng – Florida State University
8. Liyao Gao – University of Washington
9. Donghan Kim – KAIST
10. Artur Kotlicki – Bank of England
11. Anna P. Kwossek – University of Vienna
12. Ananya Lahiri – Indian Institute of Technology Tirupati
13. Guang Lin – Purdue University
14. Rafał Łochowski – Warsaw School of Economics
15. Toyomu Matsuda – Man AHL, Investment Management
16. T. Parthasarathy
17. Nicolas Perkowski – Freie Universität Berlin
18. David J. Prömel – University of Mannheim
19. Virginia Pugliese – Bank of England
20. G. Ravindran – ISI Chennai, India
21. Barun Sarkar – IIT Madras, India