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Rough paths, Signatures and the modelling of functions on streams

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References

2010Multidimensional Stochastic Processes as Rough Paths750 cited
2007Differential Equations Driven by Rough Paths237 cited
2006UNIQUENESS FOR THE SIGNATURE OF A PATH OF BOUNDED VARIATION AND THE REDUCED PATH GROUP135 cited
2013Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths88 cited

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2016Characteristic functions of measures on geometric rough paths58 cited
2020A Data-Driven Market Simulator for Small Data Environments53 cited
2020Signatory: differentiable computations of the signature and logsignature transforms, on both CPU and GPU52 cited
2016Discretely sampled signals and the rough Hoff process40 cited
2020Non-parametric Pricing and Hedging of Exotic Derivatives32 cited

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