Establishes finite-sample MSE bounds separating discretization and fluctuation errors for expected signature estimation under summable block-signature covariance, applicable to fractional Ornstein-Uhlenbeck processes across Hurst regimes.
Qian , Zhongmin Z
2 Pith papers cite this work. Polarity classification is still indexing.
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Rough-path market models satisfying no-controlled-free-lunch reduce admissible drivers to Itô lifts of Brownian motion (up to time change) once signature-type strategies are allowed.
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Finite-Sample Bounds for Expected Signature Estimation under Weak Dependence
Establishes finite-sample MSE bounds separating discretization and fluctuation errors for expected signature estimation under summable block-signature covariance, applicable to fractional Ornstein-Uhlenbeck processes across Hurst regimes.
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Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
Rough-path market models satisfying no-controlled-free-lunch reduce admissible drivers to Itô lifts of Brownian motion (up to time change) once signature-type strategies are allowed.