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math.PR2024
Dimension reduction for path signatures
Christian Bayer, Martin Redmann
This paper focuses on the mathematical framework for reducing the complexity of models using path signatures. The structure of these signatures, which can be interpreted as collect…
math.NA2024
Dimension reduction for large-scale stochastic systems with non-zero initial states and controlled diffusion
Martin Redmann
In this paper, we establish new strategies to reduce the dimension of large-scale controlled stochastic differential equations with non-zero initial states. The first approach tran…