Fabian Andsem Harang

Førsteamanuensis - Institutt for samfunnsøkonomi


I am an Associate Professor in Mathematics at BI Norwegian Business School. I hold a Ph.D in Mathematics from the University of Oslo, where I specialized in stchastic analysis and financial mathematics.

My research is mostly focused around various topics in the field of stochastic analysis, rough path theory, and applications these theories towards financial markets. I am currently very interested in regularization by noise phenomena, especially from a "pathwise" point of view. I am also actively working on projects related to Volterra rough paths, rough volatiltiy modelling, and generally the application of stochastic processes with memory in finance.

See my personal homepage for more information


Harang, Fabian Andsem & Ling, Chengcheng (2021)

Regularity of Local Times Associated with Volterra–Lévy Processes and Path-Wise Regularization of Stochastic Differential Equations

Journal of theoretical probability Doi: 10.1007/s10959-021-01114-4 - Fulltekst i vitenarkiv

Harang, Fabian Andsem & Catellier, Rémi (2021)

Pathwise regularization of the stochastic heat equation with multiplicative noise through irregular perturbation

Harang, Fabian Andsem & Tindel, Samy (2021)

Volterra Equations Driven by Rough Signals

Stochastic Processes and their Applications Doi: 10.1016/

This article is devoted to the extension of the theory of rough paths in the context of Volterra equations with possibly singular kernels. We begin to describe a class of two parameter functions defined on the simplex called Volterra paths. These paths are used to construct a so-called Volterra-signature, analogously to the signature used in Lyon’s theory of rough paths. We provide a detailed algebraic and analytic description of this object. Interestingly, the Volterra signature does not have a multiplicative property similar to the classical signature, and we introduce an integral product behaving like a convolution extending the classical tensor product. We show that this convolution product is well defined for a large class of Volterra paths, and we provide an analogue of the extension theorem from the theory of rough paths (which guarantees in particular the existence of a Volterra signature). Moreover the concept of convolution product is essential in the construction of Volterra controlled paths, which is the natural class of processes to be integrated with respect to the driving noise in our situation. This leads to a rough integral given as a functional of the Volterra signature and the Volterra controlled paths, combined through the convolution product. The rough integral is then used in the construction of unique solutions to Volterra equations driven by Hölder noises with singular kernels. An example concerning Brownian noises and a singular kernel is treated.

Harang, Fabian Andsem & Benth, Fred Espen (2021)

Infinite Dimensional Pathwise Volterra Processes Driven by Gaussian Noise -- Probabilistic Properties and Applications

Electronic Journal of Probability (EJP), 26 Doi: 10.1214/21-EJP683 - Fulltekst i vitenarkiv

Bayer, Christian; Harang, Fabian Andsem & Pigato, Paolo (2021)

Log-modulated rough stochastic volatility models

SIAM Journal on Financial Mathematics, 12(3), s. 1257- 1284. Doi: 10.1137/20M135902X

Harang, Fabian Andsem; Lagunas, Marc & Ortiz-Latorre, Salvador (2021)

Self-Exciting Multifractional Processes

Journal of Applied Probability, 58(1), s. 22- 41. Doi: 10.1017/jpr.2020.88

Harang, Fabian Andsem & Mayorcas, Avi (2020)


Harang, Fabian Andsem & Perkowski, Nicolas (2020)

C-infinity regularization of ODEs perturbed by noise

Harang, Fabian Andsem & Galeati, Lucio (2020)

Regularization of multiplicative SDEs through additive noise

Harang, Fabian Andsem & Ling, Chengcheng (2020)

Regularity of Local times associated to Volterra-Lévy processes and path-wise regularization of stochastic differential equations

We investigate the space-time regularity of the local time associated to Volterra-Lévy processes, including Volterra processes driven by α-stable processes for α∈(0,2]. We show that the spatial regularity of the local time for Volterra-Lévy process is P-a.s. inverse proportionally to the singularity of the associated Volterra kernel. We apply our results to the investigation of path-wise regularizing effects obtained by perturba\Ption of ODEs by a Volterra-Lévy process which has sufficiently regular local time. Following along the lines of \cite{HarangPerkowski2020}, we show existence, uniqueness and differentiablility of the flow associated to such equations.

Amine, Oussama; Coffie, Emmanuel, Harang, Fabian Andsem & Proske, Frank Norbert (2020)

Bismut–Elworthy–Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility

Communications in Mathematical Sciences, 18(7), s. 1863- 1890. Doi: 10.4310/CMS.2020.v18.n7.a3

Harang, Fabian Andsem (2020)

An extension of the sewing lemma to hyper-cubes and hyperbolic equations driven by multi-parameter Young fields

Stochastics and Partial Differential Equations: Analysis and Computations Doi: 10.1007/s40072-020-00184-5

Harang, Fabian Andsem (2019)

Differential Equations Driven by Variable Order Hölder Noise, and the Regularizing Effect of Delay

Stochastics: An International Journal of Probability and Stochastic Processes Doi: 10.1080/17442508.2019.1602130

Amine, Oussama; Coffie, Emmanuel, Harang, Fabian Andsem & Proske, Frank Norbert (2018)

A Bismut-Elworthy-Li Formula for Singular SDE's Driven by a Fractional Brownian Motion and Applications to Rough Volatility Modeling

Harang, Fabian Andsem; Proske, Frank Norbert & Nilssen, Torstein Kastberg (2017)

Girsanov Theorem for Multifractional Brownian Processes - Fulltekst i vitenarkiv

Harang, Fabian Andsem (2020)

Infinitely regularizing paths, and regularization by noise

[Academic lecture]. DNA seminar, Mathematics department, NTNU Trondheim.

Harang, Fabian Andsem (2020)

C^\infty regularization of ODEs perturbed by noise

[Academic lecture]. Young researchers between geometry and stochastic analysis.

Harang, Fabian Andsem (2020)

Volterra Equations driven by Rough Noise

[Academic lecture]. Seminar for Probability group at Université Nice-Sophia-Antipolis.

Harang, Fabian Andsem (2020)

Volterra Equations Driven by Rough Signals

[Academic lecture]. Seminar For Berlin Rough Paths Group.

Harang, Fabian Andsem (2020)

Infinitely regularising paths and regularisation by noise

[Academic lecture]. Oxford Stochastic Analysis and Mathematical Finance Seminar.

Harang, Fabian Andsem (2019)

Volterra equations driven by rough signals (2)

[Academic lecture]. CSA2019 - Conference in Stochastic Analysis - Risør.

Harang, Fabian Andsem (2019)

Volterra equations driven by rough signals

[Academic lecture]. Berlin -Oxford meeting, WIAS Berlin.

Harang, Fabian Andsem (2019)

A multi parameter sewing lemma, and applications

[Academic lecture]. Seminar at NTNU Trondhiem.

Harang, Fabian Andsem (2019)

A Multiparameter Sewing Lemma with applications

[Academic lecture]. Seminar at Purdue University, Indiana, USA.

Akademisk grad
År Akademisk institusjon Grad
2018 University of Oslo, Department of mathematics Ph.D.
År Arbeidsgiver Tittel
2021 - Present BI Norwegian Business School Associate Professor of Mathematics
2019 - 2021 University of Oslo Postdoctor