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math.PR2019★ 3 cited
Insertion algorithm for inverting the signature of a path
Jiawei Chang, Terry Lyons
In this article we introduce the insertion method for reconstructing the path from its signature, i.e. inverting the signature of a path. For this purpose, we prove that a convergi…
math.PR2016
Signature inversion for monotone paths
Jiawei Chang, Nick Duffield, Hao Ni +1
The aim of this article is to provide a simple sampling procedure to reconstruct any monotone path from its signature. For every N, we sample a lattice path of N steps with weights…