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The Signature Kernel Is the Solution of a Goursat PDE

  • Published:2021-01 Issue:3 Volume:3 Page:873-899
  • ISSN:2577-0187
  • Container-title:SIAM Journal on Mathematics of Data Science
  • language:en
  • Short-container-title:SIAM Journal on Mathematics of Data Science

Author:

Salvi Cristopher,Cass Thomas,Foster James,Lyons Terry,Yang Weixin

Funder

Alan Turing Institute

Engineering and Physical Sciences Research Council

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Cited by 12 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. SK-SVR-CNN: A Hybrid Approach for Traffic Flow Prediction with Signature PDE Kernel and Convolutional Neural Networks;ICC 2024 - IEEE International Conference on Communications;2024-06-09

2. Path signatures for diversity in probabilistic trajectory optimisation;INT J ROBOT RES;2024

3. Weighted signature kernels;The Annals of Applied Probability;2024-02-01

4. Signatures, Lipschitz-Free Spaces, and Paths of Persistence Diagrams;SIAM Journal on Applied Algebra and Geometry;2023-12-14

5. SigFormer: Signature Transformers for Deep Hedging;4th ACM International Conference on AI in Finance;2023-11-25
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