5 citations · 5 across the 1 of their papers we have counts for
2 papers
math.PR2026★ 5 cited
Signature SDEs from an affine and polynomial perspective
Christa Cuchiero, Sara Svaluto-Ferro, Josef Teichmann
Signature stochastic differential equations (SDEs) constitute a large class of stochastic processes, here driven by Brownian motions, whose characteristics are linear maps of their…
q-fin.MF2025
Local signature-based expansions
Federico M. Bandi, Roberto Renò, Sara Svaluto-Ferro
We study the local (in time) expansion of a continuous-time process and its conditional moments, including the process' characteristic function. The expansions are conducted by usi…