Distribution regression for sequential data by Lemercier, M, Salvi, C, Damoulas, T, Bonilla, EV, Lyons, T

“…We provide theoretical results on the universality of both approaches and demonstrate empirically their robustness to irregularly sampled multivariate time-series, achieving state-of-the-art performance on both synthetic and real-world examples from thermodynamics, mathematical finance and agricultural science.…”

Distribution regression for sequential data by Lemercier, M, Salvi, C, Damoulas, T, Bonilla, EV, Lyons, T

“…We provide theoretical results on the universality of both approaches and demonstrate empirically their robustness to irregularly sampled multivariate time-series, achieving state-of-the-art performance on both synthetic and real-world examples from thermodynamics, mathematical finance and agricultural science.…”

Optimal stopping via distribution regression: a higher rank signature approach by Horvath, B, Lemercier, M, Liu, C, Lyons, T, Salvi, C

“…However, this approach fails for Optimal Stopping Problems arising from mathematical finance, such as the pricing of American options, because the corresponding value functions are in general discontinuous with respect to the weak topology. …”