I am Luca Pelizzari, a postdoctoral researcher in applied mathematics in the group of Christa Cuchiero at the University of Vienna. I obtained my PhD under the supervision of Christian Bayer and Peter Friz at WIAS and TU Berlin.

My research develops mathematical foundations for stochastic models with memory, with applications to mathematical finance and machine learning. I am particularly interested in rough paths and signatures, stochastic Volterra equations, stochastic volatility models, and learning methods for non-Markovian data.

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New preprints

All publications

• Expected signatures via partial integration, coordinate change and symmetrization
  with Paul Hager.
  arXiv:2607.29534, August 2026.

• Computational aspects of the Volterra Signature
  with Paul Hager, Fabian Harang and Samy Tindel.
  arXiv:2605.18406, May 2026.

• The Volterra Signature
  with Paul Hager, Fabian Harang and Samy Tindel.
  arXiv:2603.04525, March 2026.