Dynamic Universal Approximation via Signature Controlled Differential Equations

Tomás Carrondo, Christa Cuchiero, Paul P. Hager +1

The paper introduces signature controlled differential equations (Sig‑CDEs) and shows that they can universally approximate any well‑posed path‑dependent controlled differential eq…

Expected signatures via partial integration, coordinate change and symmetrization

Paul P. Hager, Luca Pelizzari

Expanding the rough Heston model in $H$

Paul P. Hager, Dörte Kreher

Microstructural Foundation of Rough Log-Normal Volatility Models

Paul P. Hager, Ulrich Horst, Thomas Wagenhofer +1

On expected signatures and signature cumulants in semimartingale models

Peter K. Friz, Paul P. Hager, Nikolas Tapia

Mean-Field Liquidation Games with Market Drop-out

Guanxing Fu, Paul P. Hager, Ulrich Horst

Computational aspects of the Volterra Signature

Paul P. Hager, Fabian N. Harang, Luca Pelizzari +1

Expected Signature Kernels for Lévy Rough Paths

Peter K. Friz, Paul P. Hager

A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints

Guanxing Fu, Paul P. Hager, Ulrich Horst

The Volterra signature

Paul P. Hager, Fabian N. Harang, Luca Pelizzari +1