Unified Signature Cumulants and Generalized Magnus Expansions
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Publication:6359978
DOI10.1017/fms.2022.20zbMath1527.60083arXiv2102.03345MaRDI QIDQ6359978
Paul Hager, Peter K. Friz, Nikolas Tapia
Publication date: 5 February 2021
Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Jump processes on general state spaces (60J76) Signatures and data streams (60L10) Applications of rough analysis (60L90)
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