1 citations · 1 across the 3 of their papers we have counts for
Showing math.PRShow all
2 papers · 1 filter
math.PR2024
A PDE approach for solving the characteristic function of the generalised signature process
Terry Lyons, Hao Ni, Jiajie Tao
The signature of a path, as a fundamental object in Rough path theory, serves as a generating function for non-commutative monomials on path space. It transforms the path into a gr…
math.PR2016
Signature inversion for monotone paths
Jiawei Chang, Nick Duffield, Hao Ni +1
The aim of this article is to provide a simple sampling procedure to reconstruct any monotone path from its signature. For every N, we sample a lattice path of N steps with weights…