Log-PDE methods for rough signature kernels

DOI10.1137/25M1764955MaRDI QIDQ7292082zbMATH OpenFDO

Authors Maud Lemercier, Terence J. Lyons, Cristopher Salvi

Publication date 8 July 2026

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/25M1764955

Mathematics Subject Classification ID

Second-order hyperbolic equations (35L10) Signatures and data streams (60L10) Rough paths (60L20)

Cites work

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• Solving and learning nonlinear PDEs with Gaussian processes
• Support Vector Machines
• The signature kernel is the solution of a Goursat PDE
• Topologies on unparameterised path space
• Weighted signature kernels

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