A high order solver for signature kernels by Lemercier, M, Lyons, T

“…The kernel of two bounded variation paths (such as piecewise linear interpolations of time series data) is typically computed by solving a Goursat problem for a hyperbolic partial differential equation (PDE) in two independent time variables. …”

General signature kernels by Cass, T, Lyons, T, Xu, X

“…Suppose that γ and σ are two continuous bounded variation paths which take values in a finite-dimensional inner product space V. …”