2 papers
math.NA2025
Numerical Schemes for Signature Kernels
Thomas Cass, Francesco Piatti, Jeffrey Pei
Signature kernels have emerged as a powerful tool within kernel methods for sequential data. In the paper "The Signature Kernel is the solution of a Goursat PDE", the authors ident…
math.PR2021
A Fubini type theorem for rough integration
Thomas Cass, Jeffrey Pei
We develop the integration theory of two-parameter controlled paths allowing us to define integrals of the form \begin{equation} \int_{[s,t] \times [u,v]} Y_{r,r'} \;d(X_{r}, X…