Optimal stopping via distribution regression: a higher rank signature approach
Distribution Regression on path-space refers to the task of learning functions mapping the law of a stochastic process to a scalar target. The learning procedure based on the notion of path-signature, i.e. a classical transform from rough path theory, was widely used to approximate weakly continuous...
| Main Authors: | , , , , |
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| Format: | Internet publication |
| Language: | English |
| Published: |
2023
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