4 papers
Dynamic Universal Approximation via Signature Controlled Differential Equations
Tomás Carrondo, Christa Cuchiero, Paul P. Hager +1
We study signature controlled differential equations (Sig-CDEs), that is, path-dependent controlled differential equations (CDEs) whose vector fields factor through the signature m…
Computational aspects of the Volterra Signature
Paul P. Hager, Fabian N. Harang, Luca Pelizzari +1
The Volterra signature extends the classical path signature by incorporating general matrix-valued kernel into its iterated integral structure, yielding a flexible notion of memory…
The Volterra signature
Paul P. Hager, Fabian N. Harang, Luca Pelizzari +1
Modern approaches for learning from non-Markovian time series, such as recurrent neural networks, neural controlled differential equations or transformers, typically rely on implic…
Stochastic Analysis of Overlapping Generations Models Under Incomplete Markets
Cangxiong Chen, Sigmund Ellingsrud, Fabian Harang +2
We provide a stochastic analysis of an overlapping-generations model under incomplete markets. By casting individual optimisation with idiosyncratic income risk into a forward-back…