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20122024
most citedThe expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence

11 citations · 16 across the 9 of their papers we have counts for

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Showing 2023Show all

2 papers · 1 filter

stat.ML2023

Generative Modelling of Lévy Area for High Order SDE Simulation

Andraž Jelinčič, Jiajie Tao, William F. Turner +3

It is well understood that, when numerically simulating SDEs with general noise, achieving a strong convergence rate better than (where h is the step size) requires t…

math.PR2023

Small mass limit of expected signature for physical Brownian motion

Siran Li, Hao Ni, Qianyu Zhu

Physical Brownian motion describes the dynamics of a Brownian particle experiencing frictional force. It was investigated in the classical work [L. S. Ornstein and G. E. Uhlenbeck,…