A PDE approach for solving the characteristic function of the generalised signature process
The signature of a path, as a fundamental object in Rough path theory, serves as a generating function for non-communicative monomials on path space. It transforms the path into a grouplike element in the tensor algebra space, summarising the path faithfully up to a generalised form of re-parameteri...
| Main Authors: | , , |
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| Format: | Internet publication |
| Language: | English |
| Published: |
2024
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