Dimension reduction for path signatures

MaRDI QIDQ6758889arXivFDO

Authors Christian Bayer, Martin Redmann

Publication date 2024

Published in arXiv

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signatures and data streams (60L10) Applications of rough analysis (60L90) Numerical solutions to stochastic differential and integral equations (65C30) Large-scale systems (93A15)

arXiv classification

math.PR

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