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20182024
most citedA Neural RDE approach for continuous-time non-Markovian stochastic control problems

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math.PR2022

On the Wiener Chaos Expansion of the Signature of a Gaussian Process

Emilio Ferrucci, Thomas Cass

We compute the Wiener chaos decomposition of the signature for a class of Gaussian processes, which contains fractional Brownian motion (fBm) with Hurst parameter H in (1/4, 1). At…