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20052024
most citedUniqueness for the signature of a path of bounded variation and the reduced path group

165 citations · 1.6k across the 96 of their papers we have counts for

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Showing 2023 · math.NAShow all

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math.NA2023

An Adaptive Algorithm for Rough Differential Equations

Christian Bayer, Simon Breneis, Terry Lyons

We present an adaptive algorithm for effectively solving rough differential equations (RDEs) using the log-ODE method. The algorithm is based on an error representation formula tha…

math.NA2023

Sampling-based Nyström Approximation and Kernel Quadrature

Satoshi Hayakawa, Harald Oberhauser, Terry Lyons

We analyze the Nyström approximation of a positive definite kernel associated with a probability measure. We first prove an improved error bound for the conventional Nyström approx…