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math.PR2026
Exponentially Fading Memory Signature
Eduardo Abi Jaber, Dimitri Sotnikov
We introduce the exponentially fading memory (EFM) signature, a time-invariant transformation of an infinite (possibly rough) path that serves as a mean-reverting analogue of the c…
math.PR2026
Weak solutions of Stochastic Volterra Equations in convex domains with general kernels
Eduardo Abi Jaber, Aurélien Alfonsi, Guillaume Szulda
We establish new weak existence results for -dimensional Stochastic Volterra Equations (SVEs) with continuous coefficients and possibly singular one-dimensional non-convolution…
math.PR2026
Quantitative contraction rates for Sinkhorn's algorithm: beyond bounded costs and compact marginals
Giovanni Conforti, Alain Durmus, Giacomo Greco
We show non-asymptotic exponential convergence of Sinkhorn iterates to the Schrödinger potentials, solutions of the quadratic Entropic Optimal Transport problem on …