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math.PR2026
Expected signatures via partial integration, coordinate change and symmetrization
Paul P. Hager, Luca Pelizzari
We study signature transformations of heterogeneous paths whose components may differ in regularity and probabilistic structure. We introduce an invertible change of coor…
math.PR2025
Expected Signature Kernels for Lévy Rough Paths
Peter K. Friz, Paul P. Hager
The expected signature kernel arises in statistical learning tasks as a similarity measure of probability measures on path space. Computing this kernel for known classes of stochas…